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VECMGARCH.RPF—GARCH model with VECM mean process

https://estima.com/forum/viewtopic.php?t=2913

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VECMGARCH.RPF—GARCH model with VECM mean process

Posted: Mon Dec 30, 2024 9:43 am
by TomDoan
VECMGARCH.RPF estimates a multivariate GARCH model with VECM mean process. This includes tests for Granger causality.

Detailed description

usstocks.xls
Data file
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