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: 9
Views: 51486

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: 108129

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...

Go to advanced search