Hi everyone,
I am estimating Multivariate GARCH-BEKK model where I would like to include dummy variables (to account for structural breaks) in both mean and variance/covariance equations. Each variable/series would be having different break points (so, dummies). I am not able to know how to include and run such models (with structural breaks) in Eviews 8. I shall be grateful if you could kindly help me out.
Than you so much.
Inclusion of dummy variables in Multivariate GARCH Model
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Re: Inclusion of dummy variables in Multivariate GARCH Model
Same doubt here... anyone?
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