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- Tue Nov 09, 2010 8:58 am
- Forum: Programming
- Topic: Incorporating an Exogenous Variable in a MGARCH system
- Replies: 1
- Views: 3035
Incorporating an Exogenous Variable in a MGARCH system
Hi Please could anyone help. For my thesis I am running rolling bivariate GARCH BEKK models on stock market returns to investigate volatility. My code is running fine except that I would like to make one of the variables in the system/code exogenous in the variance equation (x2r in the programme bel...