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Multivariate Garch-X

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Multivariate Garch-X

Postby Anja » Tue Aug 12, 2008 11:06 am

Hi has anyone experience of fitting a multivariate Garch-X model in which each model has a different regressor in the variance function? I would appreciate any advice! I think it needs to be done using maximize but can't get it to work!?
Thanks in advance,
Anja :)
Anja
 
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Joined: Tue Aug 12, 2008 10:44 am
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