VAR-GARCH(1,1) BEKK

[amcqeen]

hi,
i am trying to estimate a trivariate VAR-GARCH(1,1). How do i define the mean equations to be a VAR ?

Maria

[TomDoan]

You use the MODEL option on GARCH to input the mean model. You can define that model using the standard VAR setup instructions:

Code: Select all

SYSTEM(MODEL=MYMODEL)
VARIABLES list of variables
LAGS list of lags
DET CONSTANT
END(SYSTEM)
GARCH(MODEL=MYMODEL,other options)