Var-ccc garch with modified variance equation

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tunelbana
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Joined: Tue Jun 18, 2013 5:28 am

Var-ccc garch with modified variance equation

Postby tunelbana » Tue Jun 18, 2013 5:38 am

Dear,

I am looking for software which will be useful to calculate Var-Ccc model. I found simple code for Ccc-garch but could you please tel me how can I add var equations to this code?

Code for Ccc I've found here:
http://forums.eviews.com/viewtopic.php?f=4&t=2223

I need a step by step code because I have to modify both var and variance equations with exogenous variables.

Could you Please help me?

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