how estimate a simple multivariate garch mode like thisl?

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

ldyhome
Posts: 1
Joined: Sun Dec 23, 2018 11:30 pm

how estimate a simple multivariate garch mode like thisl?

Postby ldyhome » Thu Dec 27, 2018 4:26 am

σ(t)^2=c+α_1*x(t-1)^2+α_2*y(t-1)^2+β*σ(t-1)^2
which c is a constant to estimate, α_1,a_2,β are to estimate.
x(t) y(t) are time-series variables and they are independent.

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 8 guests