Search found 2 matches

by JackCrow
Tue Nov 29, 2011 11:47 pm
Forum: Program Repository
Topic: An Example Trivariate GARCH-in-Mean Program for EViews 6.0
Replies: 7
Views: 12966

Re: An Example Trivariate GARCH-in-Mean Program for EViews 6

Just to be clear, this model contains only a mean and own-variance effect in the mean equation, right? In other words, y1=c+lambda1*garch1+res1. Can this code be altered to estimate less parsimonious models? I need to estimate y1=c+lambda1*garch1+psi1*garch2+rho1*garch3+res1, y2 and y3 similar. Can ...
by JackCrow
Thu Nov 24, 2011 11:17 pm
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 66897

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

Hello. I have been attempting to use the code presented and discussed in this thread to estimate a bivariate garch-in-mean model. I have three major questions. 1. Is there any way to modify the code to make it constant conditional covariance as opposed to BEKK? 2. What exactly is the current program...

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