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AR term in multivariant GARCH model

Posted: Mon May 21, 2018 7:38 am
by JerryWC
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 ~

Re: AR term in multivariant GARCH model

Posted: Mon May 21, 2018 8:10 am
by EViews Gareth
Bit confused. Do you want the AR terms to have the same coefficient? If not, why did you enter it as a "Common coefficient"?

But, if you don't want them to have the same coefficient, change the coefficient in the specification from C(2) to something else.

Re: AR term in multivariant GARCH model

Posted: Mon May 21, 2018 8:47 am
by JerryWC
Hello ~ I revised the code below and re-run, and it works! though freq shut-down maybe due to Microsoft issues. My head must be swimming... thanks for the reply again.

_____________________________________
@STACKINST
@INST
DLN_CNH = C(1) + [AR(1)=C(2)]
DLN_CNY = C(3) + [AR(1)=C(4)]
_____________________________________