A multivariate GARCH would be better so that I can add more shares/indices later and test simultaneously for spillovers. But as I said I'm new to this, so maybe you could first start with univariate and tell me how I can extend that to a multivariate then?
Thanks anyway for your answer already!
Search found 2 matches
- Mon Jun 06, 2011 12:14 pm
- Forum: Estimation
- Topic: Spillovers with GARCH
- Replies: 3
- Views: 2687
- Mon Jun 06, 2011 10:52 am
- Forum: Estimation
- Topic: Spillovers with GARCH
- Replies: 3
- Views: 2687
Spillovers with GARCH
Hello, I want to measure spillovers of means and volatilities in two stock return series using a GARCH model. Unfortunately, I'm pretty new to the program and don't really know how to do that. Let's say the series are called r1 and r2. How can I form the mean and variance equation? I know how to est...