I want to model VARMA-GARCH of Mcaleer to study volatility transmission between oil and stock market index (bivariate).
Is there any available programme in R or Eviews that I could use?
RATS version 8.1
VARMA-GARCH variance process of Ling and McAleer is implemented in RATS with the options MV=CC and VARIANCES=VARMA.
It is a usage of simpler CC model with spillovers in the variances.
Thank you Hasret Balcioglu for your answer.
The problem is that I don't have access to RATS that is why I was asking about Eviews or R programs
You can download RATS as demo version and run the algorithm
The website: winrats.com
You can find the algorithm in resources link
Good luck
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