Hi Statalist
I want to estimate conditional variance and covariance between two variables. Can somebody help me in answering the following questions
1. Can we include moving average(MA) terms in the mgarch command
2. How we can select the lag structure of arch and garch in the mgarch command?
Your reply is much appreciated.
I want to estimate conditional variance and covariance between two variables. Can somebody help me in answering the following questions
1. Can we include moving average(MA) terms in the mgarch command
2. How we can select the lag structure of arch and garch in the mgarch command?
Your reply is much appreciated.
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