Multivariate EGARCH model modifying egarch1.prg

[volatil]

Hi, I am using eviews 6.0. I want to make volatility spillover analysis. I will estimate a multivariate EGARCH. My variables are rcds remt ri. I first ran a VAR model with two lags. Now I want to estimate the EGARCH effects for this system of equation. I read in the forums about this issue and you advice to modify the logl egarch1.prg object but I couldn't figure out how to modify it. Could you please help me on this issue it is really urgent? Also one more question if I use the EGARCH menu which is avaiable in the program already, seperately for each of the below equation I have written, can I find the the same result? And how about the conditional covariances? How can we apply BEKK to multivariate EGARCH?

The system of equation:
remt= c remt(-1) remt(-2) rcds(-2) rcds(-2) ri(-1) ri(-2)
ri= c remt(-1) remt(-2) rcds(-2) rcds(-2) ri(-1) ri(-2)
rcds= c remt(-1) remt(-2) rcds(-2) rcds(-2) ri(-1) ri(-2)

[mmkubilay]

unfortunately, there is no multivariate egarch in even eviews 7 automatically. there is only multivariate garch for this version :(

[volatil]

Thanks for the response. I know that there is no multivariate EGARCH option in none of the versions of E-views. I was just wandering how I could modify the code of EGARCH1.prg file in eviews package for the equations I have written above. Or is there a way of doing this analysis by using the menu avaliable for egarch analysis seperately for each equation and get the results for multivariate EGARCH?

If you could assits me on this issue I would appreciate much :)