Search found 4 matches

by demoisellesalma
Mon Jan 11, 2016 4:41 pm
Forum: Estimation
Topic: Bivariate VAR-GARCH
Replies: 7
Views: 3345

Re: Bivariate VAR-GARCH

hii :) please I have some confusions and I need your help I have estimated a bivariate diagonal VAR-BEKK model of 3 sub -periods. I want to test contagion in the strict sense(ie is there a significant increase for the coefficients of transmission between the quiet period and the period of crisis ). ...
by demoisellesalma
Thu Nov 05, 2015 5:04 pm
Forum: Estimation
Topic: Bivariate VAR-GARCH
Replies: 7
Views: 3345

Re: Bivariate VAR-GARCH

hii :) I have estimated a bivariate VAR-BEKK diagonal asymetric using eviews . but I don't know how to interprate the negative cross-ARCH effect. can u help me please . thank u in advance Substituted Coefficients: ===================== GARCH1 = 0.0490233447915+0.00221065915359*RESID1(-1)^2+0.1520682...
by demoisellesalma
Mon Nov 02, 2015 5:06 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 75
Views: 74678

Re: Dynamic conditional correlation multivariate GARCH

thank u @trubador for your quick reply
by demoisellesalma
Sun Nov 01, 2015 5:26 pm
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 75
Views: 74678

Re: Dynamic conditional correlation multivariate GARCH

hiii :) please I need help I've estimated a DCC-GARCH (1,1) to residuals obtained from the adequate ARMA(p,q)applied to my series of stock . I've got results and everything seems to be ok untill checking the equation of univariate GARCH outcome from the DCC . in fact, for all my results the R_square...

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