Help with coding a C-GARCH-BEKK

For questions regarding programming in the EViews programming language.

Moderators: EViews Gareth, EViews Jason, EViews Moderator, EViews Matt

Posts: 3
Joined: Thu Dec 21, 2017 6:20 am

Help with coding a C-GARCH-BEKK

Postby amnordstroem » Tue Mar 27, 2018 7:51 am

Hi all,

I am working on an Eviews program to estimate volatility spillovers in a bivariate BEKK-GARCH framework. My univariate GARCH series are estimated using the Component GARCH (C-GARCH) model. My unrestricted bivariate BEKK is a modification of Eviews own example program of a restricted bivariate BEKK-GARCH.

My idea is that since the C-GARCH(1,1) model could be rewritten as a GARCH(2,2) model, I should add the estimated coefficients as follows to get the initialisation values for my bivariate BEKK:

'C-GARCH(1,1): GARCH = Q + alpha(RESID(-1)^2 - Q(-1)) + beta(GARCH(-1) - Q(-1)),
'Q = omega + rho(Q(-1) - omega) + phi(RESID(-1)^2 - GARCH(-1)) can be rewritten as a GARCH(2,2) process:

'GARCH(2,2) = omega + alpha(1)*RESID(-1)^2 + alpha(2)*RESID(-2)^2 + beta(1)*GARCH(-1) + beta(2)*GARCH(-2)

'C-GARCH(1,1) = GARCH(2,2) = (1-alpha-beta)(1-rho)*omega + (alpha + phi)*RESID(-1)^2 - (alpha*rho + (alpha + beta)*phi)*RESID(-2)^2 + (beta - phi)*GARCH(-1) - (beta*rho - (alpha + beta)*phi)*GARCH(-2)

'omega(1) = (1-alpha-beta)(1-rho)*omega
'alpha(1) = (alpha + phi) - (alpha*rho +(alpha + beta)*phi)
'beta(1) = (beta - phi) - (beta*rho - (alpha + beta)*phi)

Now, I am not used to programming this kind of complex models, and I just want to know if I've got this correctly. The version attached is very basic and I know that the unovariate series aren't well-fitted. I just wanted to make it as simple as possible to read. If anyone would want to give me some feedback, it would be greatly appreciated!

Best, Amanda
(4.19 KiB) Downloaded 34 times
(93.82 KiB) Downloaded 34 times

Return to “Programming”

Who is online

Users browsing this forum: No registered users and 3 guests