Search found 2 matches
- Thu Mar 17, 2011 6:40 am
- Forum: Programming
- Topic: MV GARCH
- Replies: 1
- Views: 2934
Re: MV GARCH
Hi All, I have another related question. I am running the above model on sovereign CDS and Bond returns for portugal, Ireland, greece and spain. The model achieves convergence for greece and spain but fails to converge for the other two. I have tried varying expanding and contracting the sample size...
- Tue Mar 15, 2011 8:16 am
- Forum: Programming
- Topic: MV GARCH
- Replies: 1
- Views: 2934
MV GARCH
Hi all, I have tried to adjust the existing diagonal bekk code a MGARCH-BEKK model without the diagonal restriction but as this is my first attempt at programming EVIEWs (version 7) I am unsure if I have been successful. I have read all the posts regarding the MVGARCH BEKK in the forums and ran the ...