Bivariate GARCH (1,1) diagnostic checking

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joshy_29
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Joined: Tue Apr 20, 2010 5:11 am

Bivariate GARCH (1,1) diagnostic checking

Postby joshy_29 » Tue Apr 20, 2010 5:55 am

Hi I need help with my econometrics paper. I need to estimate CAPM using bivariate GARCH. My problem is: I am not sure on how to diagnose a bivariate garch (1,1) model.... how do i check if the model is appropriate for my data. Is the diagnostic checking in univariate garch the same as the bivariate garch model? Does eviews version 6 support the diagnostic checking of bivariate garch? Thanks

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