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Questions related from Pedro Afonso Leitão Ventura de Sousa Rodrigues
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 4,715 3 View
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 2,382 4 View
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 4,359 7 View