EViews.com

Ok. Let me try it then.

Thank you for your help.

Pascal

Hi, I am reading the paper" exchange rates, interest rates and the risk premium" proposed by Engel (2016). I am wondering how to generate the series of the infinite sum of the expected nominal interest rate differential (sIP, equation 2). Does anyone know how to do it? I am deeply apprecia...

OH...sorry.
I don't have the Eview code to run DCC model.

I am trying to use Engle's DCC model to estimate the time varying relationship between stock returns. Do anyone know if there is constant conditional correlation between the two series: 1) if one of the DCC parameter, alpha or beta, which is statistically insignicant, (not both) 2) if alpha is stati...

Can anyone help me??

Question:
I estimated a GARCH model which (alpha+beta)>1, therefore, I try a GARCH (1, 3) model and get (alpha+beta)<1 result.
However, the beta are equal to 1.94, -1.52 and 0.32, respectively.
Does this result satisfy the stationary constraint?

Thank you very much