EViews.com

Hi everyone. Hopefully, you'll find the EViews codes provided in the attached master thesis useful. The codes are written to estimate the general form BEKK-GARCH where A and B are unrestricted. Thus, you could test for volatility spillover http://www.diva-portal.org/smash/get/diva2:523539/fulltext01...

RoollingGARCH-2.PNG Hi everyone. I’m trying to estimate GARCH(1,1) model with conditional normal distribution and where the mean equation includes a constant only. My sample includes 2519 observations of an equity index returns. I estimated the original equation using 1800 observations and named it...