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- Mon Jun 07, 2010 10:06 am
- Forum: ARCH and GARCH Models
- Topic: Panel GARCH? (Cermeno and Grier, 2006)
- Replies: 61
- Views: 345131
Panel GARCH? (Cermeno and Grier, 2006)
Hello, Does anyone now how to estimate a Panel GARCH ala Cermeno and Grier (2006) in RATS? It is similar to a DVECH model, except you impose common dynamics in variance and covariance equations: σ{i,t}² =α{i}+δσ{i,t-1}²+γu{i,t-1}² for i=1,...N σ{ij,t}² =η{ij}+λσ{ij,t-1}+ρu{i,t-1}u{j,t-1} for i≠j Thi...