Search found 9 matches
- 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...
- Sat Feb 19, 2011 2:28 am
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies: 58
- Views: 108137
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...
- Sat Jan 15, 2011 7:07 am
- Forum: Programming
- Topic: bivariate garch in mean
- Replies: 1
- Views: 2319
Re: bivariate garch in mean
no one can ask my question?
- Sun Jan 09, 2011 1:24 pm
- Forum: Programming
- Topic: quasi maximum likelihood estimation
- Replies: 1
- Views: 2654
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?
I want to maximize a quasi maximum likelihood functions for a Bivariate GARCH in mean model.
how can I do that?
- Fri Dec 17, 2010 1:56 pm
- Forum: Programming
- Topic: bivariate garch in mean
- Replies: 1
- Views: 2319
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...
- Sun Dec 05, 2010 1:46 pm
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies: 58
- Views: 108137
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?
the error when this code is run is "s0 already exists in"sample s0..."
what is it?
how is it resolved?
- Fri Dec 03, 2010 7:16 am
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies: 58
- Views: 108137
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?
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?
- Wed Dec 01, 2010 1:55 am
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies: 58
- Views: 108137
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 ...
- Tue Nov 23, 2010 10:02 am
- Forum: Estimation
- Topic: MGARCHM
- Replies: 1
- Views: 2118
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.
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.