- system_estimation.png (69.58 KiB) Viewed 2787 times
I try to create bivariate garch but I have some problem.
1. I go to New Objecct to create new system
2. I insert 2 mean equations. The first one is the mean equation of USA and the second one is the mean equation of Canada, note that the lag return of Canada is in equation1 as well as the lag return of USA is in equation2.
3. After I input the equation, I click the "Estimate" button and the System Estimation box appeared. In this step, I did nothing to make any adjustment to the variance equation. I am a newbie for Eview.
4. After the regression, the variance equations turn out to be the ones in the blue-line box.
How can I make adjustment in step 3 to have the variance equation be like in the red-line box?
My model need to have the cross terms from the other equation.