CC-VARMA GARCH Model

[jeanne]

Dear all,
based on the codes posted aove, I estimate the following:

Code: Select all

system(model=simplevar)
variables a b 
lags 1
det constant
end(system)

garch(p=1,q=1,model=simplevar,mv=cc, pmethod=simplex,piters=20,iters=1000)

In addition, I want to include the lagged residual and lagged variance of series b in the variance equation of a and vice versa.
In other words, I would like the variance equations to look something like:

"variance_t_a = constant + beta1*variance_t-1_a + beta2*variance_t-1_b + beta3*(error_t-1_a)^2 - beta4*(error_t-1_b)^2"
and
"variance_t_b = constant + beta5*variance_t-1_b + beta6*variance_t-1_a + beta7*(error_t-1_b)^2 - beta8*(error_t-1_a)^2"

How can I do this? Is there any way to do so without coding things manually using the "maximize" command?
I greatly appreciate any help and comment.
Thank you!!!

[TomDoan]

That sounds like you want GARCH with MV=CC,VARIANCES=VARMA (which, BTW, is a completely different meaning of VARMA than the subject of this thread).

[sanjeev]

Thank you very much for your reply Tom. I got the solution.
I have another question. I would be grateful if you could possibly guide me again.
Could you suggest me the code for Varma Agarch model of McAleer et al (2009)? Actually I am replicating the Chang et al 2010 paper titled “Analysing and forecasting volatility spillovers, asymmetries and hedging in major oil markets” Energy economics, 32 (2010). I also need to calculate volatility spillovers.
Thanks, Sanjeev

[TomDoan]

GARCH with MV=CC,VARIANCES=VARMA,ASYMMETRIC

[sanjeev]

Dear Tom, Thank you for your reply. I have another question. I would be grateful if you could possibly guide me again.

My mean equation is VAR , and I am using the Varma Agarch model of McAleer et al (2009).
I used the following command:
garch(model=var1,p=1,q=1,mv=CC,variance=varma,asymmetric,iters=500,$
pmethod=simplex,piters=10,robusterrors,hmatrices=Varmah, MVHSERIES=VarmaHmatrix, rvectors=Varmarv,STDRESIDS=Varmaeta)
I am using only two variables.There is the convergence problem. Kindly help
Regards,
Sanjeev

[TomDoan]

You would have to post your program and data set. However, that's not a model that necessarily works if there's anything "off" about the data set. See the description at

https://estima.com/ratshelp/garchmvrpf. ... tput_VARMA