how can I construct ARMA-GARCH model

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tg128
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Joined: Mon Sep 22, 2008 1:10 pm

how can I construct ARMA-GARCH model

Postby tg128 » Tue Sep 23, 2008 9:34 am

How can I construct a bivariate ARMA-GARCH model when two different series have different lag structures please?
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Gene
EViews Expert
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Joined: Wed Sep 24, 2008 1:08 pm

Postby Gene » Thu Sep 25, 2008 4:14 pm

Multivariate GARCH can be estimated in EViews 6's System. System-ARCH supports AR estimation in the mean equations but not MA. AR orders can be different for each mean equation. Lag structures for the variance equations must be identical.
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tg128
Posts: 18
Joined: Mon Sep 22, 2008 1:10 pm

Postby tg128 » Fri Sep 26, 2008 7:04 am

Multivariate GARCH can be estimated in EViews 6's System. System-ARCH supports AR estimation in the mean equations but not MA. AR orders can be different for each mean equation. Lag structures for the variance equations must be identical.
the lag structures for the Variance equations are not identical, I wonder if there is programming codes for Multivariate GARCH plz?
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Gene
EViews Expert
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Joined: Wed Sep 24, 2008 1:08 pm

Postby Gene » Mon Sep 29, 2008 5:25 pm

the lag structures for the Variance equations are not identical, I wonder if there is programming codes for Multivariate GARCH plz?
One of the example programs, bv_grach.prg, for LogL object contains codes for setting up and estimating a bivariate BEKK.
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