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VARMA-GARCH
Posted: Sat Jun 16, 2007 9:24 pm
by ccw
I need someone who can help me to program the VARMA-GARCH model. Thanks
Posted: Mon Jun 18, 2007 9:57 am
by TomDoan
Are you talking about a (multivariate) GARCH model with the mean model being a VARMA, or is the VARMA the variance model? (Sorry - the same terminology is being used for both)
Re: I have same question for VARMA-GARCH program
Posted: Thu Nov 20, 2008 9:02 pm
by ccw9796
Dear sir:
About Varma-GARCH program for the variance model which I can not wirte in the RATS because I don't know how to combine the Var and MA with GARCHto write. I know this model could solve some questions for predition in some way of economy. Can you share the RATS code for the VARMA-GARCH? I would glad and thanks a lot If you can share. Thanks again for your help.
quote]="TomDoan"]Are you talking about a (multivariate) GARCH model with the mean model being a VARMA, or is the VARMA the variance model? (Sorry - the same terminology is being used for both)[/quote]