GARCH-MIDAS estimation's ?

08 May 2024 1 5K Report

Hello

Please someone can help me, I had a problem when I just estimated the GARCH-MIDAS model on Eviews, I found only the MIDAS model, my question is can I estimate the GARCH(1,1) model and MIDAS separately then I multiply them to have GARCH-MIDAS? or is there another way to estimate the model on Eviews

thanks in advance

Chuck A Arize

Yes, you can estimate the GARCH(1,1) model and the MIDAS separately in Eviews, and then multiply the results to obtain the GARCH-MIDAS model. However, Eviews may also have specific functionalities or add-ins for estimating GARCH-MIDAS models directly, so it's worth exploring the software's documentation or seeking guidance from forums or tutorials for more efficient methods.

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