Bivariate GARCH (1,1) diagnostic checking
Posted: 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