I need to estimate volatility in a panel data set. Therefore planning to use garch model. However, there is no option in eviews to perform panel data garch model. Is there any other software that I can use to estimate garch model for panel data? If there is then what are the codes?
It is doable; probably via MATLAB. I will let you know if I stumble upon a solution.
For now it is not possible with EViews but I think with Matlab you can do it. Also, you can review this website
https://www.mathworks.com/?s_tid=gn_logo
It can provide you with different nformation about MATLAB econometrics toolbox and Panel econometrics toolbox, and then you can search for a specific code that allow you to use Garch Panel.
Yes you can, definitely not in Eviews. But, look at this reference:
Lee, J. (2010). The link between output growth and volatility: Evidence from a GARCH model with panel data. Economics Letters, 106(2), 143-145.
Thank you Daniel Velasquez-Gaviria. I have already read that paper. However, this paper does not mention which statistical software he has used to estimate garch in panel data. In eviews there is no option for panel garch model. That is why, I am trying to find a way to estimate garch manually. But if you know any software that can perform a garch model in a panel data please let me know. And thanks again, you are awesome...
Thank you Imtiaz Sifat and Salah Eddine Sari Hassoun for your answer. I will look for Matlab coding. However, I have never used Matlab for econometric. Is there anyway I can do it in R-studio?
Daniel Velásquez-Gaviria . I am working with the panel data set having 18 years. I want to calculate the time-varying volatility of my variables. Existing studies use two types of methods.
1. ARCH, GARCH
2, Regress the main variable on-trend and trend square. Squared deviation from this trend is then assumed to represent volatility.
I am confused about which method is more appropriate with 18 years of data.
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