Var-ccc garch with modified variance equation
Posted: Tue Jun 18, 2013 5:38 am
Dear,
I am looking for software which will be useful to calculate Var-Ccc model. I found simple code for Ccc-garch but could you please tel me how can I add var equations to this code?
Code for Ccc I've found here:
http://forums.eviews.com/viewtopic.php?f=4&t=2223
I need a step by step code because I have to modify both var and variance equations with exogenous variables.
Could you Please help me?
I am looking for software which will be useful to calculate Var-Ccc model. I found simple code for Ccc-garch but could you please tel me how can I add var equations to this code?
Code for Ccc I've found here:
http://forums.eviews.com/viewtopic.php?f=4&t=2223
I need a step by step code because I have to modify both var and variance equations with exogenous variables.
Could you Please help me?