How to restrict parameter in MultivariateGARCH?
Posted: Sat Mar 31, 2012 3:03 am
Hi:)
I wanna know how to restrict parameter matrices when I estimate Multivariate GARCH Models.
Usually I make system and then make GARCH estimation in the dialog.
When can I set up parameter matrix restriction?
What I wanna especially make is lower triangular matrix estimation in GARCH term.
Please help me out someone!
I wanna know how to restrict parameter matrices when I estimate Multivariate GARCH Models.
Usually I make system and then make GARCH estimation in the dialog.
When can I set up parameter matrix restriction?
What I wanna especially make is lower triangular matrix estimation in GARCH term.
Please help me out someone!