egarch

Exponential GARCH.

parch[=arg]

Power ARCH. If the optional arg is provided, the power parameter will be set to that value, otherwise the power parameter will be estimated.

cgarch

Component (permanent and transitory) ARCH.

figarch

Fractional GARCH (FIGARCH).

fiegarch

Fractional Exponential GARCH (FIEGARCH(1,1)).

midas

MIDAS GARCH(1,1)

thrsh

For Component GARCH models, include a threshold term.

thrsh=integer (default=0)

Number of threshold terms for GARCH models. The maximum number of terms allowed is 9.

vt

Variance target of the constant term for GARCH models. (May not be used with integrated specifications.)

integrated

Restrict GARCH model to be integrated, i.e. IGARCH. (May not be used with variance targeting.)

asy=integer (default=1)

Number of asymmetric terms in Power ARCH or EGARCH models. The maximum number of terms allowed is 9.

trunclag=integer (default=1000)

Number of terms in the expansion approximation for FIGARCH and FIEGARCH models.

archm=arg

ARCH-M (ARCH in mean) specification with the conditional standard deviation (“archm=sd”), the conditional variance (“archm=var”), or the log of the conditional variance (“archm= log”) entered as a regressor in the mean equation.

tdist [=number]

Estimate the model assuming that the residuals follow a conditional Student’s t-distribution (the default is the conditional normal distribution). Providing the optional number greater than two will fix the degrees of freedom to that value. If the argument is not provided, the degrees of freedom will be estimated.

ged [=number]

Estimate the model assuming that the residuals follow a conditional GED (the default is the conditional normal distribution). Providing a positive value for the optional argument will fix the GED parameter. If the argument is not provided, the parameter will be estimated.

z

Turn of backcasting for both initial MA innovations and initial variances.

backcast=n

Backcast weight to calculate value used as the presample conditional variance. Weight needs to be greater than 0 and less than or equal to 1; the default value is 0.7. Note that a weight of 1 is equivalent to no backcasting, i.e. using the unconditional residual variance as the presample conditional variance.

optmethod = arg

Optimization method: “bfgs” (BFGS); “newton” (Newton-Raphson), “opg” or “bhhh” (OPG or BHHH), “legacy” (EViews legacy).

“bfgs” is the default for new equations.

optstep = arg

Step method: “marquardt” (Marquardt - default); “dogleg” (Dogleg); “linesearch” (Line search).

(Applicable when “optmethod=bfgs”, “optmethod=newton” or “optmethod=opg”.)

b

Use Berndt-Hall-Hall-Hausman (BHHH) as maximization algorithm. The default is Marquardt.

(Applicable when “optmethod=legacy”.)

cov=arg

Covariance method: “ordinary” (default method based on inverse of the estimated information matrix), “huber” or “white” (Huber-White sandwich method), “bollerslev” (Bollerslev-Wooldridge method).

covinfo = arg

Information matrix method: “opg” (OPG); “hessian” (observed Hessian), “

(Applicable when non-legacy “optmethod=” with “cov=ordinary”.)

h

Bollerslev-Wooldridge robust quasi-maximum likelihood (QML) covariance/standard errors.

(Applicable for “optmethod=legacy” when estimating assuming normal errors.)

m=integer

Set maximum number of iterations.

c=scalar

Set convergence criterion. The criterion is based upon the maximum of the percentage changes in the scaled coefficients.

s

Use the current coefficient values in “C” as starting values (see also param).

s=number

Specify a number between zero and one to determine starting values as a fraction of preliminary LS estimates (out of range values are set to “s=1”).

numericderiv / ‑numericderiv

[Do / do not] use numeric derivatives only. If omitted, EViews will follow the global default.

fastderiv / ‑fastderiv

[Do / do not] use fast derivative computation. If omitted, EViews will follow the global default.

Available only for legacy estimation (“optmeth=legacy”).

showopts / ‑showopts

[Do / do not] display the starting coefficient values and estimation options in the estimation output.

coef=arg

Specify the name of the coefficient vector (if specified by list); the default behavior is to use the “C” coefficient vector.

prompt

Force the dialog to appear from within a program.

p

Print estimation results.

lag=arg

Specify the number of lags of the low frequency regressor to include. Default value is 32.

beta=arg

Beta function restriction: none (“none”), trend coefficient equals 1 (“trend”), endpoints coefficient equals 0 (“end-point”), both trend and endpoints restriction (“both”). For use when “midwgt=beta”. The default is “beta=none”.

thrsh

Include a threshold term.

optmethod=arg

Optimization method for nonlinear estimation: “bfgs” (BFGS); “newton” Newton-Raphson), “opg”, “bhhh” (OPG or BHHH), or “hybrid” (initial BHHH followed by BFGS). Hybrid is the default method.

optstep=arg

Step method for nonlinear estimation: “marquardt” (Marquardt); “dogleg” (Dogleg); “linesearch” (Line search). Marquardt is the default method.

cov=arg

Covariance method for nonlinear models: “ordinary” (default method based on inverse of the estimated information matrix), “huber” or “white” (Huber-White sandwich).

covinfo=arg

Information matrix method for nonlinear models: “opg” (OPG); “hessian” (observed Hessian).

nodf

Do not perform degree of freedom corrections in computing coefficient covariance matrix. The default is to use degree of freedom corrections.

m=integer

Set maximum number of iterations.

c=scalar

Set convergence criterion. The criterion is based upon the maximum of the percentage changes in the scaled coefficients. The criterion will be set to the nearest value between 1e-24 and 0.2.

s

Use the current coefficient values in estimator coefficient vector as starting values in nonlinear estimation. If the “s=number” or “s” options are not used, EViews will use random starting values.

s=number

Determine starting values for nonlinear estimation. Specify a number between zero and oSpecify the number of lags of the low frequency regressor to include. Default value is 32.ne representing the fraction of preliminary EViews chosen values. Note that out of range values are set to “s=1”. Specifying “s=0” initializes coefficients to zero. If the “s=number” or “s” options are not used, EViews will use random starting values.

seed=positive integer from 0 to 2,147,483,647

Seed the random number generator used in random starting values. If not specified, EViews will seed random number generator with a single integer draw from the default global random number generator.

showopts/-showopts

[Do / do not] display the starting coefficient values and estimation options in the estimation output.

coef=arg

Specify the name of the coefficient vector; the default behavior is to use the “C” coefficient vector.

prompt

Force the dialog to appear from within a program.

p

Print estimation results.