VECMGARCH.RPF—GARCH model with VECM mean process

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

VECMGARCH.RPF—GARCH model with VECM mean process

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VECMGARCH.RPF estimates a multivariate GARCH model with VECM mean process. This includes tests for Granger causality.

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usstocks.xls
Data file
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Last bumped by TomDoan on Mon Dec 30, 2024 9:43 am.
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