Contemporaneous variables - multivariate GARCH
Posted: Wed May 19, 2010 9:24 am
Should all the regressor variables on the RHS be lagged variables in Multivariate (BEKK, VEC, CCC) GARCH models?
I tried it with a combination of lagged and contempraneous variables and the software gave me an error. Is that a limitation with student editions?
Thanks for your replies.
I tried it with a combination of lagged and contempraneous variables and the software gave me an error. Is that a limitation with student editions?
Thanks for your replies.