Search found 18 matches
- Thu Aug 21, 2014 8:11 am
- Forum: Programming
- Topic: Factor Augmented VAR Analysis
- Replies: 14
- Views: 33872
Re: Factor Augmented VAR Analysis
Any update on the above promised efforts to have a FAVAR analysis enabled platform in Eviews??
- Wed Nov 20, 2013 4:15 am
- Forum: Programming
- Topic: Lower triangular Trivariate BEKK GARCH model
- Replies: 5
- Views: 5173
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...
- Wed Nov 20, 2013 4:03 am
- Forum: Programming
- Topic: Lower triangular Trivariate BEKK GARCH model
- Replies: 5
- Views: 5173
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
Do you have any idea why the var and cov factors converge to a number?
thanks! ~N
- Wed Nov 13, 2013 3:46 am
- Forum: Programming
- Topic: Lower triangular Trivariate BEKK GARCH model
- Replies: 5
- Views: 5173
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...
- Wed Jul 03, 2013 1:41 am
- Forum: Programming
- Topic: Adding AR terms to built-in CCC
- Replies: 0
- Views: 1790
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...
- Thu May 30, 2013 7:41 am
- Forum: Estimation
- Topic: MGARCH Diagonal BEKK results & Volatility spillovers
- Replies: 20
- Views: 32306
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!
- Thu May 30, 2013 4:05 am
- Forum: Estimation
- Topic: MGARCH Diagonal BEKK results & Volatility spillovers
- Replies: 20
- Views: 32306
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...
- Wed May 29, 2013 7:20 am
- Forum: Estimation
- Topic: MGARCH Diagonal BEKK results & Volatility spillovers
- Replies: 20
- Views: 32306
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...
- Wed May 29, 2013 6:27 am
- Forum: Estimation
- Topic: MGARCH Diagonal BEKK results & Volatility spillovers
- Replies: 20
- Views: 32306
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...
- Tue May 28, 2013 1:27 pm
- Forum: Programming
- Topic: Lower triangle BV Bekk-Garch
- Replies: 0
- Views: 3000
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 ...
- Fri May 24, 2013 3:12 am
- Forum: Estimation
- Topic: Generalised Impulse Response Functions and Variance Decomp
- Replies: 9
- Views: 11105
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
any of you any wiser on the technique by now? Help would be much appreciated!! N
- Fri May 24, 2013 1:20 am
- Forum: Estimation
- Topic: MGARCH Diagonal BEKK results & Volatility spillovers
- Replies: 20
- Views: 32306
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?...
- Thu May 23, 2013 7:33 am
- Forum: Estimation
- Topic: MGARCH Diagonal BEKK results & Volatility spillovers
- Replies: 20
- Views: 32306
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?
- Thu May 23, 2013 6:50 am
- Forum: Estimation
- Topic: MGARCH Diagonal BEKK results & Volatility spillovers
- Replies: 20
- Views: 32306
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?
- Thu May 23, 2013 2:57 am
- Forum: Estimation
- Topic: MGARCH Diagonal BEKK results & Volatility spillovers
- Replies: 20
- Views: 32306
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..."...