### AR term in multivariant GARCH model

Posted:

**Mon May 21, 2018 7:38 am**Hello,

How to incorporate AR(1) in multivariant GARCH estimations?

I input "AR(1)" in Common coefficients of Regressor and AR() terms under Make System window, the code becomes

-------------------------------------

@STACKINST

@INST

DLN_CNH = C(1) + [AR(1)=C(2)]

DLN_CNY = C(3) + [AR(1)=C(2)]

--------------------------------------

which means I will have same coeff("C(2)") for AR(1) term of the two equation.

I try to revise the code below, but shows "AR is not defined in "DLN_CNH = C(1) + C(3)*AR(1)"

---------------------------------------

@STACKINST

@INST

DLN_CNH = C(1) + C(3)*AR(1)

DLN_CNY = C(2) + C(4)*AR(1)

--------------------------------------

Can anyone help on this ? many thanks ~

How to incorporate AR(1) in multivariant GARCH estimations?

I input "AR(1)" in Common coefficients of Regressor and AR() terms under Make System window, the code becomes

-------------------------------------

@STACKINST

@INST

DLN_CNH = C(1) + [AR(1)=C(2)]

DLN_CNY = C(3) + [AR(1)=C(2)]

--------------------------------------

which means I will have same coeff("C(2)") for AR(1) term of the two equation.

I try to revise the code below, but shows "AR is not defined in "DLN_CNH = C(1) + C(3)*AR(1)"

---------------------------------------

@STACKINST

@INST

DLN_CNH = C(1) + C(3)*AR(1)

DLN_CNY = C(2) + C(4)*AR(1)

--------------------------------------

Can anyone help on this ? many thanks ~