but i wanna see the spillover effect of these variances. so i need to insert them into conditional variance equation. for eg:
var1=c+var1(-1)+res1(-1)+var2(-1)+var3(-1)
Search found 4 matches
- Sat Jun 18, 2011 8:02 am
- Forum: Estimation
- Topic: multivariate garch
- Replies: 6
- Views: 10055
- Thu Jun 16, 2011 3:26 am
- Forum: Estimation
- Topic: multivariate garch
- Replies: 6
- Views: 10055
multivariate garch
is it possible to estimate multivariate garch or egarch for volatility spillover by "make system"? i have VAR equations as mean equations. microsoft ibm apple are the variables. i wanna estimate microsoft volatility by its own arch-garch terms and garch terms of ibm and apple. unfortunatel...
- Wed May 18, 2011 2:22 am
- Forum: Programming
- Topic: Multivariate EGARCH model modifying egarch1.prg
- Replies: 2
- Views: 4575
Re: Multivariate EGARCH model modifying egarch1.prg
unfortunately, there is no multivariate egarch in even eviews 7 automatically. there is only multivariate garch for this version :(
- Fri Feb 11, 2011 8:54 am
- Forum: Installation and Registration
- Topic: transferring Eviews from one computer to another.
- Replies: 1
- Views: 11876
transferring Eviews from one computer to another.
In our department, we decided to renew our computers. therefore we need to transfer our current eviews subscription to the new computers. how is that possible?