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multivariate GARCH model and programming: inclusion into a model
Posted: Fri Feb 05, 2021 4:54 am
by centroid
I would like to write a program which creates a multivariate garch models and then feeds the equations for the variance into a model object. I was able to write the programming code for the creation of the multivariate garch model. But how do I feed the equations for the variance into the model object automatically through a program? Merging the equation only does the trick for the mean equations of the multivariate garch.
Re: multivariate GARCH model and programming: inclusion into a model
Posted: Fri Feb 05, 2021 6:27 am
by EViews Gareth
Unfortunately the model object can only handle the mean equations.
Re: multivariate GARCH model and programming: inclusion into a model
Posted: Fri Feb 05, 2021 8:44 am
by centroid
Is there a way to access the GARCH formula equation with substituted coefficients through the programming interface other than accessing the coefficients individually and then possibly manually entering the identity GARCH equations through a program?
Re: multivariate GARCH model and programming: inclusion into a model
Posted: Fri Feb 05, 2021 8:57 am
by EViews Gareth
No :/