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