Page 1 of 1
VAR GARCH-M with BEKK
Posted: Sat Jun 18, 2011 8:30 am
by msftrinity11
Hi,
I'm trying to create a VAR GARCH-M with BEKK representation; however, I've been unsuccessful. I'm unable to get the "in-mean" option added to my equation; being it does not exist if you are using an system. Here's my steps:
1. I first developed the mean equation, VAR.
2. I specified it as a system.
3. I then went to "Estimate" and changed the estimation method to "ARCH".
There is no "in-mean" option in this area. How would I add the in-mean option in? I have 5 variables I'm estimating. I'm new to this software and do not know how to program it in.
Thanks!
Re: VAR GARCH-M with BEKK
Posted: Sat Jun 18, 2011 10:13 am
by EViews Gareth
EViews does not have multivariate GARCH-M.
Re: VAR GARCH-M with BEKK
Posted: Wed Jun 22, 2011 1:25 pm
by SnakeCharmerII
It seems that you can do things like that in RATS (I've also foun some code in GAUSS)
Re: VAR GARCH-M with BEKK
Posted: Wed Jun 22, 2011 11:28 pm
by trubador
It seems that you can do things like that in RATS (I've also foun some code in GAUSS)
You can do such things in EViews as well, but not as a built-in procedure. You have to use the LogL object along with some programming features of EViews. There are sample programs on similar issues in the "Program Repository" forum.
Re: VAR GARCH-M with BEKK
Posted: Fri Jun 24, 2011 2:53 pm
by SnakeCharmerII
It seems that you can do things like that in RATS (I've also foun some code in GAUSS)
You can do such things in EViews as well, but not as a built-in procedure. You have to use the LogL object along with some programming features of EViews. There are sample programs on similar issues in the "Program Repository" forum.
True. If you know the form of the (log) likelihood of your model, then you can do it in Eviews.
Re: VAR GARCH-M with BEKK
Posted: Mon Nov 21, 2011 9:18 am
by maryamjannesari
hi dear
i m working on my thesis, and i have the same problem to estimate var garch-m ,did u find any way to estimate? if yes ,plz help me,thanks a lot
Re: VAR GARCH-M with BEKK
Posted: Thu Oct 04, 2012 4:29 am
by lanouar_charf
PLease do any one has the VAR GARCH BEKK program under GAUSS
and under Eviews in which version we can estimate it, do Eviews 6 estimated it ?
thank you
Re: VAR GARCH-M with BEKK
Posted: Wed Dec 16, 2015 7:27 am
by locrion
Hello,
I'm also having trouble by employing VAR-GARCH (1,1) in Mean with BEKK representation for my thesis.
Im currently trying to figure out the correlation between Exchange Rate changes (Independent Variable) and Net Flows of Bonds and Equity (Dependent Variable) in Indonesia.
I have the data of for each variable from January 2009 - September 2015.
I'm having trouble to employ those data as VAR-GARCH (1,1) with BEKK Representation model.
Can anyone tutor me step-by-step so i can calculate these?
According to my Journal by Spagnolo, Ali and Caporale (2015)
First they're employ the statistic descriptive.
Then, they're using LM ARCH effect to find out homoscedastic VAR model (Should i use LM TEST? or VAR Test?)
Then, theyre employing VAR-GARCH (1,1) with BEKK Representation.
Can anyone help tutoring me step by step for my research thesis??
Thank you very much!