Search found 9 matches

by yaser
Tue Apr 12, 2011 7:31 am
Forum: Programming
Topic: Bi variate GARCH in mean
Replies: 0
Views: 1835

Bi variate GARCH in mean

Dear Eviews users: I have modified the bv_garch.prg of the Eviews6. the model I am working with is a VAR(1) GARCH(1,1) in mean with a 2x2 coefficient matrix of garch in mean elements. however, it estimates the data set related to workfile intl_fin.wf1 but not mine the corresponding error is owerflow...
by yaser
Sat Feb 19, 2011 2:28 am
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 107983

Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?

The error you detected should be corrected as the way you did. I checked the log-likelihood specification and it is correct. So you do not have to worry about the rest of the code. Final version of the code after your modifications seems allright and therefore you should now be able to estimate a b...
by yaser
Sat Jan 15, 2011 7:07 am
Forum: Programming
Topic: bivariate garch in mean
Replies: 1
Views: 2316

Re: bivariate garch in mean

no one can ask my question?
by yaser
Sun Jan 09, 2011 1:24 pm
Forum: Programming
Topic: quasi maximum likelihood estimation
Replies: 1
Views: 2650

quasi maximum likelihood estimation

Dear E Views users:
I want to maximize a quasi maximum likelihood functions for a Bivariate GARCH in mean model.
how can I do that?
by yaser
Fri Dec 17, 2010 1:56 pm
Forum: Programming
Topic: bivariate garch in mean
Replies: 1
Views: 2316

bivariate garch in mean

Dear eviews users I am going to estimate a bivariate garch in mean model, I have seen the code which was modified from the original version of eviews 6. however, It is not the case in my work. in models that I am following garch in mean component is a 2x1 matrix and coefficient matrix(say lambda) is...
by yaser
Sun Dec 05, 2010 1:46 pm
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 107983

Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?

hi huys

the error when this code is run is "s0 already exists in"sample s0..."

what is it?

how is it resolved?
by yaser
Fri Dec 03, 2010 7:16 am
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 107983

Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?

thanks for your help
I have done it with my own data set, but there is a near singular matrix error here.
Its about the EQUATION EQ2.ARCH
how can I resolve it? is there any kind of multicollinearity between regressors?
by yaser
Wed Dec 01, 2010 1:55 am
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 107983

Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?

I used this code, but I don't find any in mean element i the final estimation result there shouldn't be or there is and I can't find it? Dear tubador, I have modified the program as below. Hope it is OK now. The programming language of EVIEWS looks a bit strange to me and not very intuitive. I have ...
by yaser
Tue Nov 23, 2010 10:02 am
Forum: Estimation
Topic: MGARCHM
Replies: 1
Views: 2115

MGARCHM

hi everybody
I have to estimate a two variable garch in mean system, I have two series of data, Inflation and economic growth.
can anybody tell me how to estimate it step by step using eviews 6.

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