The RATS Software Forum

Thanks you Tom for you reply, i have considered what you said about VARIANCES=SPILLOVERS and i changed my model to Koutmo's (i searched for koutmos papers and its quite similar to what i am trying to do so i will keep it) and here is the code: cal(d) 2003:1:2 open data brasil.xls data(format=xls,org...

Dear Tom, I am trying to perform a CC-MVEGARCH as CHAKER ALOUI did on " Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period " which defines the conditional variance equations as follows: http://imageshack.com/a/img538/9374/ts5dL7.png I...