Bivariate or Trivariate GARCH
Posted: Tue May 18, 2010 7:45 pm
I have seen some tips on programming Bivariate or Trivariate GARCH.
I have difficulty understanding how to program a BV or TV-GARCH with different ARCH and GARCH terms.
Whether the codes provided in the examples are all for GARCH(1,1) models?
If I want to model the residuals as e1 ~ GARCH(p1, q1) and e2 ~ GARCH(p2, q2), how do I incorporate the differences in p1, q1, p2 and q2? Any help would be appreciated.
I have difficulty understanding how to program a BV or TV-GARCH with different ARCH and GARCH terms.
Whether the codes provided in the examples are all for GARCH(1,1) models?
If I want to model the residuals as e1 ~ GARCH(p1, q1) and e2 ~ GARCH(p2, q2), how do I incorporate the differences in p1, q1, p2 and q2? Any help would be appreciated.