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[求助]如何用eviews实现向量garch？ [推广有奖]

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wdhq4139 发表于 2008-7-14 00:36:00 |AI写论文

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向量GARCH如何实现？需要编程吗？望高手指教！！！谢谢

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关键词：EVIEWS Views Eview GARCH ARCH EVIEWS 求助 GARCH 向量

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coldpolaris 发表于3楼查看完整内容

What you mentioned is about how to run the multivariate GARCH models, right?If you have the version 6 of EViews (beta version can't), it is easy to run the standard multivariate GARCH models (like BEKK).However, if you don't have the official version or you want to run some specific models, my suggestion is to use EViews program to do it.You can see the object "logl" or see the EViews built-in sam ...

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wdhq4139 发表于 2008-7-15 00:24:00

向量GARCH用什么软件能够实现啊？

有没有介绍这方面的书籍？

小弟再次谢过！！！

望高手不吝赐教

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coldpolaris 发表于 2008-7-15 13:01:00

What you mentioned is about how to run the multivariate GARCH models, right?
If you have the version 6 of EViews (beta version can't), it is easy to run the standard multivariate GARCH models (like BEKK).
However, if you don't have the official version or you want to run some specific models, my suggestion is to use EViews program to do it.
You can see the object "logl" or see the EViews built-in sample programs, which provide bivariate and trivariate GARCH models.