Multivariate IGARCH
Posted: Fri Aug 05, 2011 10:29 am
Hi,
I was just wondering if it is possible to perform multivariate IGARCH in EViews?
I have tried various specifications with many different restrictions and the values I obtain for alpha and beta in my multivariate GARCH often exceed one, I wanted to try an integrated GARCH specification to see if that would solve my problem. Is there any way to this in EViews?
Thanks
I was just wondering if it is possible to perform multivariate IGARCH in EViews?
I have tried various specifications with many different restrictions and the values I obtain for alpha and beta in my multivariate GARCH often exceed one, I wanted to try an integrated GARCH specification to see if that would solve my problem. Is there any way to this in EViews?
Thanks