how to select mean equation in MVgarch model?

[hardmann]

Dear Tom:
sorry. I know how to specify mean equation in Mvgarch.
but I do not know how to select mean equation. eg, Under what circumstances, to choose var, or arma.

thanks again

Thank you.

Sorry, I become a king of question.

Hardmann

[moderator]

We cover this in some detail in the RATS User's Guide. For example, if you have version 8, see Section 9.8.1 ("The Mean Model").

The key point is to define your mean model as a MODEL object, and then use the MODEL option on GARCH. There's an example in the User's Guide section noted above demonstrating the setup for a VAR model.

Regards,
Tom Maycock

[TomDoan]

Dear Tom:

How to specify mean equation in MVgarch model, var or arma? what is rule?

Thank you.

Sorry, I become a king of question.

Hardmann

Start small (just means) and check your diagnostics for serial correlation in the standardized residuals. There is no "rule".

[hardmann]

sorry. I know how to specify mean equation in Mvgarch.
but I do not know how to select mean equation. eg, Under what circumstances, to choose var, or arma.
thanks again.
hardmann