[no subject]

["Leyla Khoury" <lillie_pancake@hotmail.com>]

Hi all,

 

I am writing a program in S+GARCH which fits an MGARCH model (with the BEKK specification for teh conditional second moment) to a specified data set. I use the command

garch_mgarch(e1e2 ~ arma(0,0), ~ bekk(1,1))

I then would like to fit an exogenous variable and use the command

 garchx_mgarch(e1e2 ~ arma(0,0), ~ bekk(1,1) + ectsq)

 

 

 

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