VARMA-GARCH
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ccw
- Posts: 1
- Joined: Wed Jun 13, 2007 6:39 am
VARMA-GARCH
I need someone who can help me to program the VARMA-GARCH model. Thanks
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ccw9796
- Posts: 1
- Joined: Tue Nov 18, 2008 10:00 am
Re: I have same question for VARMA-GARCH program
Dear sir:
About Varma-GARCH program for the variance model which I can not wirte in the RATS because I don't know how to combine the Var and MA with GARCHto write. I know this model could solve some questions for predition in some way of economy. Can you share the RATS code for the VARMA-GARCH? I would glad and thanks a lot If you can share. Thanks again for your help.
quote]="TomDoan"]Are you talking about a (multivariate) GARCH model with the mean model being a VARMA, or is the VARMA the variance model? (Sorry - the same terminology is being used for both)[/quote]
About Varma-GARCH program for the variance model which I can not wirte in the RATS because I don't know how to combine the Var and MA with GARCHto write. I know this model could solve some questions for predition in some way of economy. Can you share the RATS code for the VARMA-GARCH? I would glad and thanks a lot If you can share. Thanks again for your help.
quote]="TomDoan"]Are you talking about a (multivariate) GARCH model with the mean model being a VARMA, or is the VARMA the variance model? (Sorry - the same terminology is being used for both)[/quote]
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