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MGARCH and Robust option

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MGARCH and Robust option

Posted: Sun Apr 22, 2012 10:14 am
by amcqeen
In the MGARCH models, when we choose the robust option,
we obtain robust estimates for the covariances following Bollerslev and Wooldridge, (1992) ?

Tnx!
Maria

Re: MGARCH and Robust option

Posted: Sun Apr 22, 2012 6:44 pm
by TomDoan
It's basically the same thing with slight difference in the way it's calculated.
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