Multivariate IGARCH

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gemmamc88
Posts: 1
Joined: Fri Aug 05, 2011 10:24 am

Multivariate IGARCH

Postby gemmamc88 » Fri Aug 05, 2011 10:29 am

Hi,
I was just wondering if it is possible to perform multivariate IGARCH in EViews?

I have tried various specifications with many different restrictions and the values I obtain for alpha and beta in my multivariate GARCH often exceed one, I wanted to try an integrated GARCH specification to see if that would solve my problem. Is there any way to this in EViews?

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

Re: Multivariate IGARCH

Postby EViews Gareth » Fri Aug 05, 2011 10:41 am

I do not believe it is built in, no.
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