OGarch Excel

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Posts: 2
Joined: Wed Jun 20, 2012 3:13 am

OGarch Excel

Postby mpazbraun » Sat Feb 02, 2013 7:38 am

Dear professor Carol,

I've tried to replicate in eviews your study case about O-Garch for oil price and gas price, but is too tough. Someone that belong to this forum kindly shared a excel file in order to see the methodology O-Garch step by step.
Please find attached the file. All the sheets has a shortly explication (yellow square). Nevertheless, I misunderstood the sheet called "O-Garch". In this sheet, if we see the matrix V, what is the stimated volatility using the O-Garch model for the entire period?. is the colum I? Why this values are so different if you compare with the book's results?.

I'm really appreciate your help in this matter.

All the best.
Maria Paz
O-Garch Oil Prices
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Joined: Sun Sep 28, 2008 10:30 pm

Re: OGarch Excel

Postby coalexander » Sat Feb 02, 2013 1:22 pm

Hi Maria,

Unfortunately I don't have the time to dig into someone else's spreadsheet to explain what is going on. So perhaps you can contact the person who sent it to you? Carol

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