multivariate GARCH model and programming: inclusion into a model
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multivariate GARCH model and programming: inclusion into a model
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.
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13309
- Joined: Tue Sep 16, 2008 5:38 pm
Re: multivariate GARCH model and programming: inclusion into a model
Unfortunately the model object can only handle the mean equations.
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Re: multivariate GARCH model and programming: inclusion into a model
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?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13309
- Joined: Tue Sep 16, 2008 5:38 pm
Re: multivariate GARCH model and programming: inclusion into a model
No :/
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