Panel GARCH Model
Posted: Tue Jul 08, 2014 7:41 pm
I was wondering if anyone can help me handle the panel-GARCH model which is similar to Cermeño, R., Grier, K.B., 2006. Conditional heteroskedasticity and cross-sectional dependence in panel data: an empirical study of inflation uncertainty in the G7 countries. In: Baltagi, B.H. (Ed.), Panel Data Econometrics, vol. 10. Elsevier, New York, pp. 259–278.
My specification is as following: cross- section N=6 countries and T=1958 days, and the research project is studying the relationship between oil shock changes and stock returns in panel data context using Multivariate GARCH. I found this post http://forums.eviews.com/viewtopic.php?t=4935 but unfortunately it does not work.
Any help please!?
My specification is as following: cross- section N=6 countries and T=1958 days, and the research project is studying the relationship between oil shock changes and stock returns in panel data context using Multivariate GARCH. I found this post http://forums.eviews.com/viewtopic.php?t=4935 but unfortunately it does not work.
Any help please!?