Hi Gareth, thank you for your reply. Any suggestions on how to do it manually? Perhaps by using my series on estimated conditional variances as an explanatory variable on conditional covariance?There is nothing built in to do it.
Search found 3 matches
- Wed Apr 25, 2018 5:53 am
- Forum: Estimation
- Topic: Impulse responses in GARCH
- Replies: 3
- Views: 3581
Re: Impulse responses in GARCH
- Tue Apr 24, 2018 1:44 am
- Forum: Estimation
- Topic: Impulse responses in GARCH
- Replies: 3
- Views: 3581
Impulse responses in GARCH
Hi,
Does anyone know if there is any way of obtaining/creating irf (impulse response functions) for GARCH models? Preferably both univariate and multivariate (I have a bi-variate unrestricted BEKK)?
Best,
Amanda
Does anyone know if there is any way of obtaining/creating irf (impulse response functions) for GARCH models? Preferably both univariate and multivariate (I have a bi-variate unrestricted BEKK)?
Best,
Amanda
- Tue Mar 27, 2018 7:51 am
- Forum: Programming
- Topic: Help with coding a C-GARCH-BEKK
- Replies: 0
- Views: 2271
Help with coding a C-GARCH-BEKK
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 bivariat...