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by Sheep
Sun Aug 01, 2010 5:07 pm
Forum: Estimation
Topic: How to estimate a Bivariate AR-GARCH model?
Replies: 0
Views: 1753

How to estimate a Bivariate AR-GARCH model?

Hi all, I need to estimate a Bivariate AR-GARCH model(VECH) for two return series of stock index to see the return spillover and volatility spillover between them. It is easy to estimate two conditional mean equations with return spillover effect with options in EViews, but I got problems to add vol...

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