Search found 2 matches
- Mon Jun 29, 2015 12:02 am
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies: 58
- Views: 148432
Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Dear all, I tried four variate Garch. But i am unable to get the output due to some errors. Pls let me know where i am wrong. ' dependent variables of all series must be continues series y1 = dlog(us_dollar) series y2 = dlog(euro) series y3 = dlog(pound_sterling) series y4 = dlog(japanese_yen) ' set...
- Sun Jun 28, 2015 10:39 pm
- Forum: Programming
- Topic: Lower triangular Trivariate BEKK GARCH model
- Replies: 5
- Views: 7777
four-variate BEKK GARCH model
Dear trubador, I have tried four variate garch. But I am not able to get output. Pls let me know where I am wrong? ' dependent variables of all series must be continues series y1 = dlog(us_dollar) series y2 = dlog(euro) series y3 = dlog(pound_sterling) series y4 = dlog(japanese_yen) ' set sample ' f...