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Thankyou for you assistance , I can now estimate an MGARCH model. What I wish to do is obtain the conditional variance & covariance of the model at the time of the final observation of the return series. To do this I use the following code. ' MGARCH hedging ratio system sysMGARCH sysMGARCH.appen...

Hi ALL, I am fairly new to Eviews but have managed to estimate a number of models so far. My issue is that I cannot work out how to programmatically estimate a bivariate MGARCH (BEKK) model. If I have 2 return series (say rS and rF) what commands do I use to estimate the MGARCH model. I understand i...