σ(t)^2=c+α_1*x(t-1)^2+α_2*y(t-1)^2+β*σ(t-1)^2
which c is a constant to estimate, α_1,a_2,β are to estimate.
x(t) y(t) are time-series variables and they are independent.
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- Thu Dec 27, 2018 4:26 am
- Forum: Estimation
- Topic: how estimate a simple multivariate garch mode like thisl?
- Replies: 0
- Views: 2180