VAR-GARCH Times series

[jessiismiile]

Hello everyone,
I'm a finance student and I'm currently writing my thesis on CDS-Bonds basis relationship on 5 countries (2011-2016).
The first step of my analysis was the cointegration test and price discovery. I've done all the test and my teacher was happy with the results.

Now he suggested me to stimate a VAR-Garch on the time series (all of them have 2 variables: Bond Z-Spread and CDS Spread)... the problem is that I have never done it before and I feel a bit lost.
I'm searching for papers regarding this topic also because I want to learn more about what is "behind".

If anyone could help me with this issue I'd really appreciate.

Thanks!

[jmagomez]

Dear jessiismiile,
You could analyze these two papers:
1. Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis
International Review of Financial Analysis, Volume 45, May 2016, Pages 180-188
Guglielmo Maria Caporale, Fabio Spagnolo, Nicola Spagnolo
2. Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR model
Energy Economics, Volume 59, September 2016, Pages 251-260
Zeina Alsalman
Regards.