Hi,
I am trying to do exactly the same thing -- replicating the component-garch model by Adrian Rosenberg 2008. I tried that in R by writing codes, but still got some problems. I saw you said the author suggested to solve it in Eviews. I was wondering if you had figured out how to do it in Eviews?
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- Thu May 24, 2012 6:39 am
- Forum: Programming
- Topic: coding Component ARCH model. Need URGENT help!
- Replies: 1
- Views: 2525