GARCH (1,1), mean equation

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GARCH (1,1), mean equation

Postby qn3 » Sat Dec 08, 2012 9:04 pm

Hi i am follwing a paper to run cointegration and vector error correction model :
The attachment 11.jpg is no longer available

after that the paper -->
11.jpg (10.2 KiB) Viewed 1259 times

i think the paper treat the error correction model as the mean equation.. the problem is that i have no idea on how to specify VECMmean equation in eviews.

instead, i proc-> make residual (resid01and resid02) from the error correction model, and then specify the mean equation in GARCH as "resid01" no constant and other independent variables included. is it OK? what can i do?

many thanks!!!!

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