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- Thu Feb 07, 2013 4:21 pm
- Forum: Estimation
- Topic: Need help with MGARCH!
- Replies: 0
- Views: 1183
Need help with MGARCH!
Hi' I'm running mgarch and have got these variance and covariance equations GARCH1 = M(1,1) + A1(1,1)*RESID1(-1)^2 + B1(1,1)*GARCH1(-1) GARCH2 = M(2,2) + A1(2,2)*RESID2(-1)^2 + B1(2,2)*GARCH2(-1) GARCH3 = M(3,3) + A1(3,3)*RESID3(-1)^2 + B1(3,3)*GARCH3(-1) I would like to know how to get the GARCH1 e...
