Search found 1 match

by ldyhome
Thu Dec 27, 2018 4:26 am
Forum: Estimation
Topic: how estimate a simple multivariate garch mode like thisl?
Replies: 0
Views: 166

how estimate a simple multivariate garch mode like thisl?

σ(t)^2=c+α_1*x(t-1)^2+α_2*y(t-1)^2+β*σ(t-1)^2
which c is a constant to estimate, α_1,a_2,β are to estimate.
x(t) y(t) are time-series variables and they are independent.

Go to advanced search