Multivariate Garch model , TGARCH and EGARCH
Posted: Wed Apr 01, 2009 5:17 am
Hi ,
is it possible to estimate conditional variances and covariances with TGARCH and EGARCH processes, from two return serieses?
How do you model the modifications to the normal multivariate Garch model ; i.e.:
TGARCH
how do you include the leverage effect. Do you need to define an additional variable reflecting the sign of the shock or is this done by Eviews automatically.
EGARCH
How do you model the exponential equation?
thank you !
is it possible to estimate conditional variances and covariances with TGARCH and EGARCH processes, from two return serieses?
How do you model the modifications to the normal multivariate Garch model ; i.e.:
TGARCH
how do you include the leverage effect. Do you need to define an additional variable reflecting the sign of the shock or is this done by Eviews automatically.
EGARCH
How do you model the exponential equation?
thank you !