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Hi, I am using several multivariate GARCH models. In order to check the robustness of my results I would like also use the BEKK model. So I was wondering whether you could send me the Rats code in order to estimate a multvariate GARCH-BEKK without restrictions along the diagonal. Thanks, Francesco

Hi,

I just estimated both GARCH and EGARCH models. I would like to get News Impact Curves for daily volatility for each model.
Could anyone suggest me what to do in order to get these curves and plotting them in the same graph, please?
I am currently using EViews5 version.

Thank you,

Francesco

hi, I am using Eview6 version and i have a sample with 2371 observation. I should create two sub-samples by using the following commands (I do not know in whic version of Eviews those commands were written): sample s1 %first+1 %last sample s2 %first+!q %last So in the window command, I wrote: sample...

Hi, I am trying to apply the tv_garch.prg (which can be find in the example files of the Eview5 application) to three financial market indexes. After launching the program I get the following messages: !MLOG2PI is not defined in "LOGL= -0.5*(!MLOG2PI+(INVH1*SQRES1+INVH4*SQRES2+INVH6*SQRES3+2*IN...