Engle et al 2008 Multiplicative Error Model

[timkrause]

Hi,

I was wondering if anyone has written the code for Engle, Gallo, and Velucchi (2008) "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," SSRN Working Paper? It is based on the MEM originally developed by Engle (2002) in "New Frontiers for ARCH Models", Journal of Applied Econometrics 17:425 - 446.

I'm going to start working on the code soon, but I thought I would see if it's already out there.

Thanks,

Tim

[Giampierogallo]

You can use a standard GARCH routine making sqrt(variable) the dependent variable with a zero mean equation. Put lagged observables in the list of predetermined variables of the variance equation. See Engle and Gallo (2006; journal of econometrics) for details on this equation by equation method. See Cipollini, Engle and Gallo (2012; journal of applied econometrics) for a full system approach. Contact me if needed
Cheers Giampiero M. Gallo