Multivariate Garch-X

Discussions of ARCH, GARCH, and related models
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Anja
Posts: 8
Joined: Tue Aug 12, 2008 10:44 am

Multivariate Garch-X

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Hi has anyone experience of fitting a multivariate Garch-X model in which each model has a different regressor in the variance function? I would appreciate any advice! I think it needs to be done using maximize but can't get it to work!?
Thanks in advance,
Anja :)
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