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st: GARCH model on a panel


From   abpa5d@bangor.ac.uk
To   statalist@hsphsun2.harvard.edu
Subject   st: GARCH model on a panel
Date   Mon, 24 Dec 2012 22:59:57 +0000

Hi everyone,

I wonder if it is possible to estimate a GARCH model on a panel data which has 100 individuals (N=100) and T=4,000. I guest that it is impossible to run a multivariate GARCH on this data since N is quite large. Any help would be appreciated.

Thank you in advance,

David
PhD candidate
Bangor University, UK, LL57 2DG

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