VARMA AGARCH of Hoti et al
Posted: Tue Jan 07, 2014 9:17 am
Dear Tom
I recently came across a paper using a VARMA AGARCH model Hoti et al (2002) which states that the VARMA GARCH model is a standard procedure in RATS. I have been trying to find where this standard procedure is but to no avail. The model is similar to Ling and Mc Aleer (VARMA GARCH) with the exception of model incorporates asymmetry al la the GJR univariate model.
Is it possible for you to point me to where this standard procedure is or at least describe to me where to how to do such model.
I recently came across a paper using a VARMA AGARCH model Hoti et al (2002) which states that the VARMA GARCH model is a standard procedure in RATS. I have been trying to find where this standard procedure is but to no avail. The model is similar to Ling and Mc Aleer (VARMA GARCH) with the exception of model incorporates asymmetry al la the GJR univariate model.
Is it possible for you to point me to where this standard procedure is or at least describe to me where to how to do such model.