In RATS, Any specification tests for GARCH and MGARCH?
Posted: Thu Jan 29, 2009 1:50 am
In WinRATS, any specification test is provided for the GARCH model and the multivariate GARCH model?
Thanks a lot.
Thanks a lot.
Take a look at the Tsay textbook examples.
http://www.estima.com/Tsay's%20Analysis ... tion.shtml
The univariate GARCH examples are in the low 100's in the page numbers and the multivariates are down near the bottom in the 400's.