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hi!everybody.I am trying to run an estimation of multivariate GARCH in mean model (BEKK) using programming and my code is as follows. Running the program, it does not work,failere to improve likelihood after 1 iteration,I got warning as 'singular covariance-coefficients are not unique'. i am wonderi...

Hi,tubador!thank you for your repaly. I meet a conflicting problem and i have no idea how to solve it . My problem is :i need to make coefficient restriction test of "lambda(2)=0,lambda(3)=0"in the first mean equation,but they must not zero in the other two.but the wald test would restrict...

thank you for your patience ,trubador :)

Hi!tubador.thank you for reply. there are still two problem: 1.I guess I have not made myself clear,in my case,some coefficient is equal in three mean equations,that is in your case lambda (2)= lambda (4),lambda (3)= lambda (5)= lambda (6).i wonder if i should declare "coef(6) lambda" or &...

hi!everybody. i want to estimate a tv-GARCH-in-mean model which is similar with the program here: http://forums.eviews.com/viewtopic.php?f=4&t=273 .but there are some differences in the specify of mean queations.the mean eauation which i wanted is: y1= lambda1*h(1,1)+lambda2*h(1,2)+lambda3*h(1,3...

thank you for your reply. i am a beginner ,it is beyond my capability,so i am obliged to abandon it for the present.

http://forums.eviews.com/viewtopic.php? ... &sk=t&sd=a

Hi !I need help with my econometrics paper.i need to estimate dynamic ICAPM use a time-varying parameter tv_garch-m model, the coefficient of the conditional variance/covariance in the mean model is time-varying ,that is it is to say they are a fouction of a set of instrumental variables(see attachm...