EViews.com

EViews Gareth wrote:There is nothing built in to do it.

Hi Gareth, thank you for your reply. Any suggestions on how to do it manually? Perhaps by using my series on estimated conditional variances as an explanatory variable on conditional covariance?

Hi,

Does anyone know if there is any way of obtaining/creating irf (impulse response functions) for GARCH models? Preferably both univariate and multivariate (I have a bi-variate unrestricted BEKK)?

Best,
Amanda

Hi all, I am working on an Eviews program to estimate volatility spillovers in a bivariate BEKK-GARCH framework. My univariate GARCH series are estimated using the Component GARCH (C-GARCH) model. My unrestricted bivariate BEKK is a modification of Eviews own example program of a restricted bivariat...