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Hello ~ I revised the code below and re-run, and it works! though freq shut-down maybe due to Microsoft issues. My head must be swimming... thanks for the reply again. _____________________________________ @STACKINST @INST DLN_CNH = C(1) + [AR(1)=C(2)] DLN_CNY = C(3) + [AR(1)=C(4)] _________________...

Hello, How to incorporate AR(1) in multivariant GARCH estimations? I input "AR(1)" in Common coefficients of Regressor and AR() terms under Make System window, the code becomes ------------------------------------- @STACKINST @INST DLN_CNH = C(1) + [AR(1)=C(2)] DLN_CNY = C(3) + [AR(1)=C(2)...