Spillovers with GARCH

[Lonestar]

Hello,

I want to measure spillovers of means and volatilities in two stock return series using a GARCH model. Unfortunately, I'm pretty new to the program and don't really know how to do that.

Let's say the series are called r1 and r2. How can I form the mean and variance equation? I know how to estimate a GARCH in general but in this case I don't know how I should proceed. Especially I'd be interested in how to include not only the lagged volatility from series 1 but also from series 2 in the conditional variance equation?

Anyone can help?! Thanks!

[EViews Gareth]

Do you want to do univariate GARCH, where r2 is an exogenous variable in either the mean and/or the variance equation for r1, or do you want to do multivariate GARCH?

[Lonestar]

A multivariate GARCH would be better so that I can add more shares/indices later and test simultaneously for spillovers. But as I said I'm new to this, so maybe you could first start with univariate and tell me how I can extend that to a multivariate then?

Thanks anyway for your answer already!

[EViews Gareth]

They're completely different, so starting with a univariate isn't particularly helpful.

The best thing to do, probably, is read the System chapter of User Guide II (Chapter 31). It has an example of estimating multivariate GARCH.