Search found 2 matches
- Fri Feb 25, 2011 2:38 pm
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies: 58
- Views: 148412
Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
trubdor, Thanks a lot for pointing me to the right direction. I was able to adjust it to fit my project. But I am getting the following error message Missing values in @LOGL series at current coefficients at observation 1991M11 in "DO_ BVGARCHM.ML(SHOWOPTS, M=100, C=1E-5)" LogL estimates a...
- Sun Feb 20, 2011 2:25 pm
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies: 58
- Views: 148412
Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Hi all, Like many of you I am working on my thesis and I need to estimate bi-variate BEKK-GARCH(1,1). I looked into the sample code and it restricts the variance covariance matrix to diagonals. Can someone, please, help me modify the code so that it will do the following: y1 = a0 + a1*x1 + a2*var(y1...