How to estimate a VAR (1) GARCH (1,1) model in Eviews or R Studio?

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Ngo Thai Hung

Interesting! follow

Tihana Škrinjarić

This package allows this: https://cran.r-project.org/web/packages/rmgarch/rmgarch.pdf

Thank you so much for your share. Tihana Škrinjarić

Kehinde Mary Bello

Dear Ravi,

Attached is a material below.

Regards

Guy Mélard

Just four remarks to these answers: (1) Ling and McAleer (2003) also cover VARMA-GARCH models that are, apparently, not accepted in the rmgarch package correctly suggested by Tihana Škrinjarić; (2) the book chapter mentioned by Tihana Škrinjarić and Kehinde Mary Bello; (3) none of the provided resources mention Ling and McAleer (2003) in their references. Ruey S. Tsay (2014) book on Multivariate Time Series Analysis With R and Financial Applications does this. Ravi Kumar, have a look at the MTS package for R that covers multivariate time series and GARCH models; (4) Also, the SAS statistical software package propose VAR and VARMA plus GARCH models in their PROC VARMAX procedure but I have no experience with it.

Thank you prof. Guy Mélard

Naji Mansour Nomran

Dear Tihana Škrinjarić Kehinde Mary Bello Guy Mélard

What about estimation VAR (1) GARCH (1,1) model in STATA?

Thank you

Gradi Kamingu

Dear Naji Mansour Nomran

Please use the links https://www.stata.com/manuals13/tsvar.pdf and https://www.youtube.com/watch?v=klxLRJwSNhg .

Daer Gradi Kamingu

Thanks for your help.