diagonal vech

[junny6]

hello

i am trying to mutivariate garch ar(1)-garch(1,1) & estimating diagonal vech model.

i have a quenstion which is conditional mean equation.

I have esimated to stock price of 3 counturies and the mean eq is Rt= C+ Rt-1+U

Originally in the textbook about this theory, the estimated diagonal vech have a one conditional mean equation by using e-views.

But i'd like to know about another methods of get the more equation result.

if somebody know about this problem, tell me please. and estimated to matrix form.

thank you