how can I construct ARMA-GARCH model
Moderators: EViews Gareth, EViews Jason, EViews Moderator, EViews Matt
how can I construct ARMA-GARCH model
How can I construct a bivariate ARMA-GARCH model when two different series have different lag structures please?
Gene wrote:Multivariate GARCH can be estimated in EViews 6's System. System-ARCH supports AR estimation in the mean equations but not MA. AR orders can be different for each mean equation. Lag structures for the variance equations must be identical.
the lag structures for the Variance equations are not identical, I wonder if there is programming codes for Multivariate GARCH plz?
Who is online
Users browsing this forum: EViews Gareth and 43 guests