Time-Varying Volatility and ARCH Models by using EViews: An Introduction to Financial Econometrics

1. TIME-VARYING VOLATILITY In this chapter we are concerned with variances that change over time, i.e., time-varying variance processes. The model we focus on is called the AutoRegressive Conditional Heteroskedastic (ARCH) model. This is an example of an ARCH(l) model since the time varying variance ht is a function of a constant term (a0)

Panel Data Models by using EViews

1. GRUNFELD DATA: TWO EQUATIONS Panel data are data with two dimensions, a time dimension and a cross-section dimension. They typically comprise observations on a number of economic units, such as individuals or firms, over a number of time periods. The use of panel data involves new models, new econometric techniques and new ways

Qualitative and Limited Dependent Variables by using EViews

1. MODELS WITH BINARY DEPENDENT VARIABLES We will illustrate binary choice models using an important problem from transportation economics. How can we explain an individual’s choice between driving (private transportation) and taking the bus (public transportation) when commuting to work, assuming, for simplicity, that these are the only two alternatives? We represent an individual’s

Importing and Exporting with EViews

1. OBTAINING DATA FROM THE INTERNET Up to now we have taken you through various econometric methodologies and applications using already prepared EViews workfiles. In this chapter, we show you how to create a workfile and how to import data from an Excel spreadsheet. The first step is to create the Excel data file.