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Hi all,

I was using the dcc-egarch/garch add in however I have greater than 5 series within my data, please can someone advise on how to create the dcc-egarch/garch model?

Kind regards,

Thanks for the advice, that's what I'm after.

Kind regards.

What I was hoping to do was to apply the variance ratio test towards many variables at one moment rather than singular variables. From what I have read in the literature, it is possible to apply the test within that context. The issue is applying it to eviews.

Appreciate the response.

Hi All, I have read the manual over and over again in terms of trying to apply the multiple variance ratio test as suggested by Lo and Mackinlay as well as Chow and Denning, but I am struggling to implement on multiple series and not just the singular series. I am using Eviews 8. Please can you kind...

Hi All,

Is it possible to do a VIF test within ARCH/GARCH models and if so, how?

Help is greatly appreciated.

Kind regards

I think you're right. As my model is a SUR I will have to interpret the result if there is significance then H0: C(1) is more responsive than c(2) will ultimately lead to a rejection of the null.

Appreciate the help Startz!

Will this also apply to Chi-Square values? My apologies, I promise that is the last question.

Kind regards

That is exactly what I am after. So does the equation c(1)=c(2) still apply?

Input c(1)=c(2). Then look up the one-tailed critical value in a table.

Thanks Startz for your swift reply. One more question regarding this. So if the result is statistically significant, can we determine that C(1) is not more responsive than c(2) given the equation?

Kind regards

Hi All, I am currently having an issue to determine the responsiveness between two variables within my model in terms of Hypothesis Testing. For example: I wish to determine C(1) is more responsive than C(2). However I cannot simply input C(1)>C(2) within the Wald test. Please advise. Help is greatl...

Greatly appreciated Startz!

Thank you for your swift reply.

So my critical value is 1.6529 with the DF being 190. So would I perform the Wald test C(3) = 0 and use the T-statistic produced above the F-Stat and Chi-Square?

Hi, I wish to conduct a positive hypothesis test within my multi-variable model through the Wald test. For example I wish to test C(3) > 0. However I am unable to complete this action. I.e. I just want to test whether one variable within the model has a relationship greater than 0 against the depend...