Specifying the mean equation in an ECM GARCH-BEKK model
Posted: Thu Mar 25, 2010 2:44 pm
Hi,
I am estimating a bivariate BEKK-GARCH model in Eviews6 to calculate dynamic hedge ratios. I would like to include an error correction model/term in the mean equation. Can anyone help me with the two following questions:
1. Is it possible to specify the mean equation as an ARMA(1,1) process when making the system?
2. How do I include the error correction term in the mean equation when setting up the system for the GARCH model?
CBS
I am estimating a bivariate BEKK-GARCH model in Eviews6 to calculate dynamic hedge ratios. I would like to include an error correction model/term in the mean equation. Can anyone help me with the two following questions:
1. Is it possible to specify the mean equation as an ARMA(1,1) process when making the system?
2. How do I include the error correction term in the mean equation when setting up the system for the GARCH model?
CBS