Search found 4 matches
- Mon Jan 11, 2016 4:41 pm
- Forum: Estimation
- Topic: Bivariate VAR-GARCH
- Replies: 7
- Views: 8841
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 ). ...
- Thu Nov 05, 2015 5:04 pm
- Forum: Estimation
- Topic: Bivariate VAR-GARCH
- Replies: 7
- Views: 8841
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...
- Mon Nov 02, 2015 5:06 am
- Forum: Estimation
- Topic: Dynamic conditional correlation multivariate GARCH
- Replies: 81
- Views: 192898
Re: Dynamic conditional correlation multivariate GARCH
thank u @trubador for your quick reply
- Sun Nov 01, 2015 5:26 pm
- Forum: Estimation
- Topic: Dynamic conditional correlation multivariate GARCH
- Replies: 81
- Views: 192898
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...