Pedro Afonso Leitão Ventura de Sousa Rodrigues

3 Questions 6 Answers 0 Followers

Questions related from Pedro Afonso Leitão Ventura de Sousa Rodrigues

GARCH model with Variance Equation coefficients greater than 1?

Dear all I have estimated a GARCH(p,q) model with multiple explanatory variables. Also, in order to solve problems regarding auto-correlation, partial auto-correlation and heteroskedasticity I...

19 November 2019 4,716 3 View

Estimate VAR model using GARCH?

Dear all, I have run into some articles that perform a VAR model after performing a GARCH(1,1) model. However, they do not explain how they use the output of the GARCH model to estimate the VAR....

12 June 2019 2,383 4 View

Proper specification of GARCH model in Eviews?

Dear all, I would like to know how can we decide on the proper specification of our GARCH model in Eviews. Mainly, I would like to know: 1) Witch values of 'p' and 'q' should we use in our...

22 May 2019 4,360 7 View