Matlab code for VECM-Garch

12 visualizaciones (últimos 30 días)
Monica
Monica el 7 de Jul. de 2013
Does exist a matlab code which estimates a VECM - Garch, that is a multivariate cointegration model with Garch effect?
Thanks

Iniciar sesión para responder a esta pregunta.

Respuestas (1)

Shashank Prasanna
Shashank Prasanna el 7 de Jul. de 2013
The garch framework in the Econometrics Toolbox currently does not support multivariate garch models. However there is support for VARMAX models as well as error correction model here:
http://www.mathworks.com/help/econ/identify-cointegration.html
Also, take a look this:
http://www.spatial-econometrics.com/

Categorías

Más información sobre Conditional Variance Models en Help Center y File Exchange.

Etiquetas

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by