Inclusion of dummy variables in Multivariate GARCH Model

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Dhananjay
Posts: 1
Joined: Sun Dec 20, 2009 9:44 am

Inclusion of dummy variables in Multivariate GARCH Model

Postby Dhananjay » Sat Jun 25, 2016 8:09 pm

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.

Sasquatch
Posts: 2
Joined: Fri Jan 04, 2019 6:31 am

Re: Inclusion of dummy variables in Multivariate GARCH Model

Postby Sasquatch » Sun Jan 06, 2019 7:00 am

Same doubt here... anyone?


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