Ravi Kumar

2 Questions 1 Answers 0 Followers

Questions related from Ravi Kumar

I have 2 variables, arch effect should be tested in residuals of 2 different AR(1) equations or residuals of 1 equation containing both my variables?

I want to apply multivariate GARCH(DCC-GARCH) for 2 variables (rbse, roil) to know the spillover effect. As a precondition, I have to test the presence of ARCH effect in the residuals of linear...

02 May 2021 3,827 2 View

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

how to learn and estimate VAR (1) GARCH (1,1) model proposed by Ling and McAleer (2003), in any suitable software. please guide...THANKS

25 March 2021 6,369 9 View