Modify the variance equation in MGARCH
Posted: Sat Aug 21, 2010 4:47 am
GARCH(P=1,Q=1,MV=DCC,variances=varma) / R1 R2
The above code estimates the VARMA model suggested by Ling and McAleer (2003). In other words, each variance equation contains two lagged shocks and two lagged varainces. (Because the system has 2 series.)
Case 1: I only want the two lagged shocks and the own lagged variance in each variance equation.
Case 2: I only want the two lagged variances and the own lagged shock.
How do I modify the program to have case1 or case 2?
Thanks a lot.
The above code estimates the VARMA model suggested by Ling and McAleer (2003). In other words, each variance equation contains two lagged shocks and two lagged varainces. (Because the system has 2 series.)
Case 1: I only want the two lagged shocks and the own lagged variance in each variance equation.
Case 2: I only want the two lagged variances and the own lagged shock.
How do I modify the program to have case1 or case 2?
Thanks a lot.