EViews.com

Hello trubador, thank you for your help. However, I still have the problem that the GARCH-term in the mean equation has to be multiplied by an exogenous vector (the vector of portfolio weights). Is there any possibility to adjust the program to that conditional CAPM specification? Many thanks, CHRIS83

Hello, I would like to modify the EViews sample program tv_garch.prg according to the conditional CAPM. Does anybody know how to adjust the estimating procedure in that program? In particular the mean equation deviates from a normal multivariate GARCH-M process as it includes conditional covariances...