How to estimate multivariate EGARCH

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maxchen
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Joined: Fri Oct 10, 2008 4:03 pm

How to estimate multivariate EGARCH

Postby maxchen » Tue Jun 02, 2009 4:51 pm

does EViews v6 support the estimation of multivariate EGARCH? TIA
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trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Re: How to estimate multivariate EGARCH

Postby trubador » Tue Jun 02, 2009 10:38 pm

There is no built-in procedure to do that. However, you can estimate it via setting up a LogL object. You'll find several examples on multivariate garch modeling via LogL object, if you search the forum.
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