Bivariate EGARCH with simultaneity problems
Posted: Tue Mar 13, 2012 8:08 pm
Dear expert,
I am betty. I am now working on volatility transmission between oil and corn markets. Since the trainding time is different, the corn of today will influence the oil of today, while the oil of yesterday will influence the corn of today. Thus I have the mean equation as belows:
series y1= 100*dlog(oil)
series y2= 100*dlog(corn)
series res1=y1-beta0(1)-beta(1)*y1(-1)-beta(2)*y2
series res2=y2-beta0(2)-beta(3)*y1(-1)-beta(4)*y2(-1)
Now I have two problems:
1. Is that OK to estimate such a bivariate EGARCH model with simultaneity problems?
2. I found a similar code on the website and revised it. But it can not give the result. Could you kindly help me find the problems? The attachment is my code and data.
Really thank you for your help!!!
I am betty. I am now working on volatility transmission between oil and corn markets. Since the trainding time is different, the corn of today will influence the oil of today, while the oil of yesterday will influence the corn of today. Thus I have the mean equation as belows:
series y1= 100*dlog(oil)
series y2= 100*dlog(corn)
series res1=y1-beta0(1)-beta(1)*y1(-1)-beta(2)*y2
series res2=y2-beta0(2)-beta(3)*y1(-1)-beta(4)*y2(-1)
Now I have two problems:
1. Is that OK to estimate such a bivariate EGARCH model with simultaneity problems?
2. I found a similar code on the website and revised it. But it can not give the result. Could you kindly help me find the problems? The attachment is my code and data.
Really thank you for your help!!!