Incorporating an Exogenous Variable in a MGARCH system

[JMat]

Hi

Please could anyone help. For my thesis I am running rolling bivariate GARCH BEKK models on stock market returns to investigate volatility. My code is running fine except that I would like to make one of the variables in the system/code exogenous in the variance equation (x2r in the programme below). I have tried doing what the EViews manual says and putting after the ARCH equation "exog(series, indiv)" but this is not giving me what I want as this is adding the return series to the ARCH equation when I all I want is to make a return series exogenous. I also put @series_name after the ARCH equation to no effect and I don't think this correct either. This is my code/programme so far:

workfile thesisA2
!window = 1000
!step = 1
!length = @obsrange
system sys02
sys02.append x1r=c(1)
sys02.append x2r=c(2)
!nrolls = @round((!length- !window)/!step)
matrix(9, !nrolls) coefmat
matrix(9, !nrolls) tstats
!j=0
for !i = 1 to !length- !window+1- !step step !step
!j=!j+1
smpl @first+!i-1 @first+!i+!window-2
sys02.arch(b,h) @diagbekk c(fullrank) arch(1) garch(1)
colplace(coefmat, sys02.@coefs, !j)
colplace(tstats, sys02.@tstats, !j)
next

show coefmat
show tstats

Please could anyone help me, it would be greatly appreciated. I just need to really know how to put the variable in my programme and then I think I'll be ok.

Thanks

JMat

[trubador]

I do not understand what you are trying to do. It would be helpful if you could write down your model to be estimated. All I can say is that if you need a more customized MGARCH model, then you'll have to specify it via LogL object.