bivariate garch in mean
Posted: Fri Dec 17, 2010 1:56 pm
Dear eviews users
I am going to estimate a bivariate garch in mean model, I have seen the code which was modified from the original version of eviews 6. however, It is not the case in my work.
in models that I am following garch in mean component is a 2x1 matrix and coefficient matrix(say lambda) is 2x2:
theoretically 4 coefficients of lambda describe effects of each variable's uncertainty on itself and on the other variable in terms of direction and magnitude.
can you modify the original program of bi-garch to cover this problem or help me construct a new on by myself??
I am going to estimate a bivariate garch in mean model, I have seen the code which was modified from the original version of eviews 6. however, It is not the case in my work.
in models that I am following garch in mean component is a 2x1 matrix and coefficient matrix(say lambda) is 2x2:
theoretically 4 coefficients of lambda describe effects of each variable's uncertainty on itself and on the other variable in terms of direction and magnitude.
can you modify the original program of bi-garch to cover this problem or help me construct a new on by myself??