How to estimate multivariate EGARCH
Posted: Tue Jun 02, 2009 4:51 pm
by maxchen
does EViews v6 support the estimation of multivariate EGARCH? TIA
Re: How to estimate multivariate EGARCH
Posted: Tue Jun 02, 2009 10:38 pm
by trubador
There is no built-in procedure to do that. However, you can estimate it via setting up a LogL object. You'll find several examples on multivariate garch modeling via LogL object, if you search the forum.