system(model=varmodel)
variables y1 y2
lags 1 to number_of_lags_you_want
det constant
end(system)
*
garch(model=varmodel,mv=bekk,method=bhhh)
humyra wrote:I also want to know the code to estimate the variance covariance matrix for my bivariate case, and how to generate the two conditional variance as well as the conditional covariance equations.
Thank you.
humyra wrote:Thank you for all your help!
So I should stick to simplex rather than BHHH.
Wpuld you able to suggest why the mvarchtest on the standard residuals is significant?
Also, I can't seem to display the covariance variance matrix. What's the code for that?
humyra wrote:I also want to calculate the the two conditional variance and one conditional covariance equation (I've attached a picture). Is RATS able to do that?
Return to ARCH and GARCH Models
Users browsing this forum: No registered users and 4 guests