Inclusion of dummy variables in Multivariate GARCH Model
Posted: Sat Jun 25, 2016 8:09 pm
Hi everyone,
I am estimating Multivariate GARCH-BEKK model where I would like to include dummy variables (to account for structural breaks) in both mean and variance/covariance equations. Each variable/series would be having different break points (so, dummies). I am not able to know how to include and run such models (with structural breaks) in Eviews 8. I shall be grateful if you could kindly help me out.
Than you so much.
I am estimating Multivariate GARCH-BEKK model where I would like to include dummy variables (to account for structural breaks) in both mean and variance/covariance equations. Each variable/series would be having different break points (so, dummies). I am not able to know how to include and run such models (with structural breaks) in Eviews 8. I shall be grateful if you could kindly help me out.
Than you so much.