The RATS Software Forum

OK... one example would be Masulis and Ng, "Overnight and daytime stock-return dynamics on the LSE: the impacts of the big bang and the 1987 stock-market crash", Journal of Business and Economic Statistics 13, 1995, 365-378. They estimate a 2-variable GARCH model with cross-equation shock ...

Thanks! That was easy... and worked perfectly! As a follow-up question: is there an equally easy way to allow for different t-distributions across equations, i.e. a specific df-parameter for each of the three residuals' distributions? My "problem" seems to be that one of my time series is ...

Dear All, I'm estimating a trivariate MV GARCH model using MAXIMIZE, because the built-in GARCH is not general enough for my model (e.g. different specifications of the three variance equations). Now, my data seem to require a t-distribution. I have managed to alter the line "%logdensity(hx,ux)...