Search found 18 matches

by nicktz
Thu Aug 21, 2014 8:11 am
Forum: Programming
Topic: Factor Augmented VAR Analysis
Replies: 14
Views: 19980

Re: Factor Augmented VAR Analysis

Any update on the above promised efforts to have a FAVAR analysis enabled platform in Eviews??
by nicktz
Wed Nov 20, 2013 4:15 am
Forum: Programming
Topic: Lower triangular Trivariate BEKK GARCH model
Replies: 5
Views: 2124

Re: Lower triangular Trivariate BEKK GARCH model

Ah wait I think you're right- specifying the deth as vary1*vary2*vary3 shows some results - and it seems that the converged cov and var variables were as a result of the NA deth... But doing so the results are somewhat suspect.. could this be as a result of the invh specifications for a lower triang...
by nicktz
Wed Nov 20, 2013 4:03 am
Forum: Programming
Topic: Lower triangular Trivariate BEKK GARCH model
Replies: 5
Views: 2124

Re: Lower triangular Trivariate BEKK GARCH model

The deth is correctly specified from theory - but it seems that the covariance factors (cov_y1y2, etc) and the variance factors converge after a few periods - probably causing the deth to show NA.

Do you have any idea why the var and cov factors converge to a number?

thanks! ~N
by nicktz
Wed Nov 13, 2013 3:46 am
Forum: Programming
Topic: Lower triangular Trivariate BEKK GARCH model
Replies: 5
Views: 2124

Lower triangular Trivariate BEKK GARCH model

Can someone please help me with the following code: Tv-garch_lowertriangle 5 - C uppertriangle.docx On the following data set: Data.WF1 I want to run a lower triangular TV-BEKK model on the attached data file, but it keeps failing. Is my coding correct or did I make an error? Please advise. Thank yo...
by nicktz
Wed Jul 03, 2013 1:41 am
Forum: Programming
Topic: Adding AR terms to built-in CCC
Replies: 0
Views: 778

Adding AR terms to built-in CCC

Hi all, the built in CCC-model allows for ar terms to be included in the mean equation - but cannot estimate it past a bivariate case for my data when including the AR terms. It works only when the intercept is including on its own. Any ideas why? Also, does anyone have the coding for the built-in p...
by nicktz
Thu May 30, 2013 7:41 am
Forum: Estimation
Topic: MGARCH Diagonal BEKK results & Volatility spillovers
Replies: 20
Views: 17906

Re: MGARCH Diagonal BEKK results & Volatility spillovers

Right, but is it safe to say that we can then use either the DCC's of multivariate GARCH models or the DCC of Engle (where the correlation is handled explicitly) to study dynamic conditional correlations between assets? Thanks again for your help!
by nicktz
Thu May 30, 2013 4:05 am
Forum: Estimation
Topic: MGARCH Diagonal BEKK results & Volatility spillovers
Replies: 20
Views: 17906

Re: MGARCH Diagonal BEKK results & Volatility spillovers

Thanks so much for your feedback. I realize it is for garch in mean, I also did the same without the mean garch effect. I adjusted the coding and made the iterations 1000. Thanks for pointing that out! On your last comment - consider this paper by Christopher, et al and note on page 1076. Do they us...
by nicktz
Wed May 29, 2013 7:20 am
Forum: Estimation
Topic: MGARCH Diagonal BEKK results & Volatility spillovers
Replies: 20
Views: 17906

Re: MGARCH Diagonal BEKK results & Volatility spillovers

Hi Trubador, I found the mistake, I didn't square the beta coefficient! Getting a hang of programming in Eviews at last! Do you mind just quickly checking that my code is correctly testing BV spillover from Y2 -> Y1, while not allowing spillover from Y1 -> Y2? Also, is it correct to include the foll...
by nicktz
Wed May 29, 2013 6:27 am
Forum: Estimation
Topic: MGARCH Diagonal BEKK results & Volatility spillovers
Replies: 20
Views: 17906

Re: MGARCH Diagonal BEKK results & Volatility spillovers

Thanks a lot Trubador, much appreciated! I have tried programming a lower triangular matrix system for the bivariate case (so that volatility in y2 spills over to y1) - but it doesn't seem to work. It keeps saying: "Missing values in @Logl". It's probably some little coding error- would yo...
by nicktz
Tue May 28, 2013 1:27 pm
Forum: Programming
Topic: Lower triangle BV Bekk-Garch
Replies: 0
Views: 1508

Lower triangle BV Bekk-Garch

Hi guys! I am trying to fit a lower triangular form to the Bivariate Bekk-Garch in mean model. I attach the coding and the data. Please help.. In it I try to make the Alpha and Beta matrices lower triangular to limit the direction of volatility spillover from y2-->y1. Please could you check my code ...
by nicktz
Fri May 24, 2013 3:12 am
Forum: Estimation
Topic: Generalised Impulse Response Functions and Variance Decomp
Replies: 9
Views: 6906

Re: Generalised Impulse Response Functions and Variance Deco

Hi guys,

any of you any wiser on the technique by now? Help would be much appreciated!! N
by nicktz
Fri May 24, 2013 1:20 am
Forum: Estimation
Topic: MGARCH Diagonal BEKK results & Volatility spillovers
Replies: 20
Views: 17906

Re: MGARCH Diagonal BEKK results & Volatility spillovers

Hi Trubador, this question on the restricted version of BEKK has been posted several times (e.g. http://forums.eviews.com/viewtopic.php?f=4&t=3355) and your advice has been to consult these forums: http://forums.eviews.com/viewtopic.php?f=15&t=3364 and http://forums.eviews.com/viewtopic.php?...
by nicktz
Thu May 23, 2013 7:33 am
Forum: Estimation
Topic: MGARCH Diagonal BEKK results & Volatility spillovers
Replies: 20
Views: 17906

Re: MGARCH Diagonal BEKK results & Volatility spillovers

I.e. is there a link/ available technique on how to make A and B lower triangular matrices, i.e. include A(2,1), A(3,1), A(3,2) & B(2,1), B(3,1) B(3,2) to allow tests of volatility spillover?
by nicktz
Thu May 23, 2013 6:50 am
Forum: Estimation
Topic: MGARCH Diagonal BEKK results & Volatility spillovers
Replies: 20
Views: 17906

Re: MGARCH Diagonal BEKK results & Volatility spillovers

Thanks for your prompt response!! I have searched the forum quite extensively for this but cannot seem to find a suitable discussion. I want to teach the spillover techniques to our students and really want to use Eviews for this. Do you have any suggestions of forum links?
by nicktz
Thu May 23, 2013 2:57 am
Forum: Estimation
Topic: MGARCH Diagonal BEKK results & Volatility spillovers
Replies: 20
Views: 17906

Re: MGARCH Diagonal BEKK results & Volatility spillovers

Hi Trubador, regarding the volatility spillover effects using the built in function (diagonal BEKK with indefinite matrix from the system window), I have the following query: You mentioned: "Estimated coefficents on the lag(s) of other conditional volatilities are the spillover effects..."...

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