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This thread is about the dyindex add-in that estimates the Diebold-Yilmaz index of spillover using forecast error variance decomposition method of a VAR model. Hai Dakila, I use eviews 11 to calculate dyindex. But I can't save the pairwise spillover, the information is : error 14 encrypted. How to ...

Hi, i have applied Diebold model in Eview9 to check return spillover among five return series ( daily data, around 3000 observation). I have some queries 1. Endogenous variable should be stationary? 2. On the basis of lag length criteria, appropriate lag is 1 (SC) and 4( AIC, HQ). When in run Diebo...

Hi,

You are right. You already did it manually. That is only possible way to get the net spillover index. I will update it sometimes later.

Hi dakila, have you done to get net spillover index?

Hai All,

I have data from government bond yield. I try to build spillover index with VAR Variance Decomposition dan spillover plot with rolling-sample analysis. Can you explain how to run VAR Variance Decomposition with rolling regression.

Best Regards,

Hai All members, I need some help how to make a indexes from Principal Analysis Tools. I try step-by-step ini Eviews user guide how to run a Principal Componen analysis. First I made a group consist of 10-yield countries of government bond. Then I run with view+principal component, then I can find e...