VARMAGARCH—GARCH model with multivariate VARMA mean model

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

VARMAGARCH—GARCH model with multivariate VARMA mean model

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VARMAGARCH.RPF is an example of a multivariate GARCH model with VAR and VARMA mean models. Don't confuse the "VARMA-GARCH" with the VARMA model for the variances.

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Last bumped by TomDoan on Mon Dec 30, 2024 9:39 am.
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