The RATS Software Forum

Hello,

I want to estimate a diagonal VARMA-GARCH-Model accordning to Ling & McAleer (2003) so that the matrices of the VAR; VMA; ARCH; GARCH parts have non-zero elements only on the diagonal. I used the code:
garch(p=1,q=1,mv=cc,variances=varma,pmethod=simplex,piters=10,rvectors=rd) / Rendite_oil gas

How to modify this to have a diagonal model?

Thank you!

Is this your own idea? A "VARMA-GARCH" with only diagonal elements (if I understand what you're asking) is the same as a standard univariate GARCH, as is used in a typical CC model.