Need help with MGARCH!
Posted: Thu Feb 07, 2013 4:21 pm
Hi'
I'm running mgarch and have got these variance and covariance equations
GARCH1 = M(1,1) + A1(1,1)*RESID1(-1)^2 + B1(1,1)*GARCH1(-1)
GARCH2 = M(2,2) + A1(2,2)*RESID2(-1)^2 + B1(2,2)*GARCH2(-1)
GARCH3 = M(3,3) + A1(3,3)*RESID3(-1)^2 + B1(3,3)*GARCH3(-1)
I would like to know how to get the GARCH1 equation to have RESID2 and RESID3,
GARCH2 equation to have RESID1 and RESID3, and GARCH3 equation to have RESID1 and RESID2.
Would it be possible?
I've already searched the web but have not found any instructions.
Thank you for any reply.
I'm running mgarch and have got these variance and covariance equations
GARCH1 = M(1,1) + A1(1,1)*RESID1(-1)^2 + B1(1,1)*GARCH1(-1)
GARCH2 = M(2,2) + A1(2,2)*RESID2(-1)^2 + B1(2,2)*GARCH2(-1)
GARCH3 = M(3,3) + A1(3,3)*RESID3(-1)^2 + B1(3,3)*GARCH3(-1)
I would like to know how to get the GARCH1 equation to have RESID2 and RESID3,
GARCH2 equation to have RESID1 and RESID3, and GARCH3 equation to have RESID1 and RESID2.
Would it be possible?
I've already searched the web but have not found any instructions.
Thank you for any reply.