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- Thu Mar 25, 2010 2:44 pm
- Forum: Estimation
- Topic: Specifying the mean equation in an ECM GARCH-BEKK model
- Replies: 0
- Views: 1983
Specifying the mean equation in an ECM GARCH-BEKK model
Hi, I am estimating a bivariate BEKK-GARCH model in Eviews6 to calculate dynamic hedge ratios. I would like to include an error correction model/term in the mean equation. Can anyone help me with the two following questions: 1. Is it possible to specify the mean equation as an ARMA(1,1) process when...