EViews.com

Dear Sir,

I am trying to forecast for VECM-GARCH model. The forecast var add-in only does for VECM and VAR models but does't help for VECM-GARCH model. kindly assist

Regards,

Since EViews doesn't have a VECM-GARCH estimator, it doesn't have an Add-in to forecast from a VECM-GARCH estimate.

We can create a Bivariate Error Correction Model (ECM) with GARCH (http://forums.eviews.com/viewtopic.php?f=4&t=1762) in eviews.

Do we have the forecast addins for it?

thanks