multivariate GARCH model and programming: inclusion into a model

For questions regarding programming in the EViews programming language.

Moderators: EViews Gareth, EViews Jason, EViews Moderator, EViews Matt

centroid
Posts: 20
Joined: Fri Feb 05, 2021 4:46 am

multivariate GARCH model and programming: inclusion into a model

Postby centroid » Fri Feb 05, 2021 4:54 am

I would like to write a program which creates a multivariate garch models and then feeds the equations for the variance into a model object. I was able to write the programming code for the creation of the multivariate garch model. But how do I feed the equations for the variance into the model object automatically through a program? Merging the equation only does the trick for the mean equations of the multivariate garch.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13307
Joined: Tue Sep 16, 2008 5:38 pm

Re: multivariate GARCH model and programming: inclusion into a model

Postby EViews Gareth » Fri Feb 05, 2021 6:27 am

Unfortunately the model object can only handle the mean equations.
Follow us on Twitter @IHSEViews

centroid
Posts: 20
Joined: Fri Feb 05, 2021 4:46 am

Re: multivariate GARCH model and programming: inclusion into a model

Postby centroid » Fri Feb 05, 2021 8:44 am

Is there a way to access the GARCH formula equation with substituted coefficients through the programming interface other than accessing the coefficients individually and then possibly manually entering the identity GARCH equations through a program?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13307
Joined: Tue Sep 16, 2008 5:38 pm

Re: multivariate GARCH model and programming: inclusion into a model

Postby EViews Gareth » Fri Feb 05, 2021 8:57 am

No :/
Follow us on Twitter @IHSEViews


Return to “Programming”

Who is online

Users browsing this forum: Google [Bot] and 32 guests