Panel garch model

Discussions of ARCH, GARCH, and related models
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sanjeev
Posts: 191
Joined: Mon Jun 18, 2012 6:51 am

Panel garch model

Unread post by sanjeev »

I have a panel data on real exchange rate series( data on 14 countries from 2001Q1 to 2015Q1).I require conditional variance estimates of real exchange rate series for my work.Kindly let me know the codes for running panel garch in rats and also to retrieve the series of conditional variance estimates.

Regards,
Sanjeev
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Panel garch model

Unread post by TomDoan »

See https://estima.com/forum/viewtopic.php?f=11&t=715. However, I wouldn't expect much with 61 observations of quarterly data---GARCH effects at the quarterly frequency tend to be extremely weak.
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