MGARCH Tests*

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NicolasR
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MGARCH Tests*

Postby NicolasR » Thu Oct 12, 2017 10:17 am

This thread is about MGARCH tests add-in which performs tests to detect the absence of multivariate ARCH effects on the residuals of VAR or VEC model. The tests can also be used to detect remaining multivariate ARCH effects after the estimation of a MGARCH model (Diagonal VECH, CCC or BEKK) in a system (object) of equations. Comments and suggestions of the add-in are welcomed.

Regards, Nicolas Ronderos Pulido

References

Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer Science & Business Media.
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