Contemporaneous variables - multivariate GARCH

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whoami
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Joined: Sun Aug 16, 2009 10:42 am

Contemporaneous variables - multivariate GARCH

Postby whoami » Wed May 19, 2010 9:24 am

Should all the regressor variables on the RHS be lagged variables in Multivariate (BEKK, VEC, CCC) GARCH models?
I tried it with a combination of lagged and contempraneous variables and the software gave me an error. Is that a limitation with student editions?

Thanks for your replies.
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