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I am working on a project ad trying to forecast the conditional corelations for only two assetsb by using DCC GARCH. Could anyone provide the code please or point a direction for writing the code or maybe suggest a good paper containing the equations for the forecast please?

You can consider this code. I used it last year for my research and you should be ok if using it for the bivariate. For trivariate u need to modify a litle bit especially for the log likelihood function. 'change path to program path %path=@runpath cd %path 'load workfile containing the return serie...

Hi, How can I read the forcast from a Grach model please? (please see the attachment)

How can I choose lags for a GARCH model please?

Many thanks!

Hi, just wondering how I can specify the mean equation for GARCH(p,q) please? Many thanks!

The number of open parenthesis "(" should equal to the number of close parenthesis ")". In your case, it seems one close parenthesis is missing and that's why you are getting the error message. Besides, exponential function is expressed as "exp" not "e" in EV...

hi I am trying to construct a logistic regression model. However, when I typed in the equation in the Equation Estimation Window, I have following message 'unmatched parenthesis'. I selected the Method as Binary and my equation looks like below offended_12m_after c ((1+e^(-(d_0_time + d_6_to_10_time...

I have selected the "normal" option for the error distibution when estimate ARCH, however, I cannot find any results regarding to normal distribution from the equation window, how can I tell if the residuals from the my model is normally distributed or not please? Look at the Jarque-Bera ...

I have selected the "normal" option for the error distibution when estimate ARCH, however, I cannot find any results regarding to normal distribution from the equation window, how can I tell if the residuals from the my model is normally distributed or not please?

Multivariate GARCH can be estimated in EViews 6's System. System-ARCH supports AR estimation in the mean equations but not MA. AR orders can be different for each mean equation. Lag structures for the variance equations must be identical. the lag structures for the Variance equations are not identi...

How can I construct a bivariate ARMA-GARCH model when two different series have different lag structures please?

just wondering if there are programming code for constructing ARMA model for the lag length from 0 to 6 for both AR terma and MA terms please? it is very time consuming to do it one by one from esitmate equation window...
many thanks!

QMS Gareth wrote:You cannot estimate more than one equation in an equation object. You'll have to use a System.

right, what if I want to compute information criteria to select ARMA model, how can I use system to do that please?

thanks

I have created three dummy variables for my regression equation(they are in a GRACH model), after regressing, I have got z-statistics are all significant for the dummy variables, I want to know how can I carry out the t-test/ANOVA to tell if there is any difference among the groups related to three ...