Stata 15 help for mgarch

[TS] mgarch -- Multivariate GARCH models

Syntax

mgarch model eq [eq ... eq] [if] [in] [, ...]

Family model ------------------------------------------------------------------------- Vech diagonal vech dvech

Conditional correlation constant conditional correlation ccc dynamic conditional correlation dcc varying conditional correlation vcc -------------------------------------------------------------------------

Description

mgarch estimates the parameters of multivariate generalized autoregressive conditional-heteroskedasticity (MGARCH) models. MGARCH models allow both the conditional mean and the conditional covariance to be dynamic.

The general MGARCH model is so flexible that not all the parameters can be estimated. For this reason, there are many MGARCH models that parameterize the problem more parsimoniously.

mgarch implements four commonly used parameterizations: the diagonal vech model, the constant conditional correlation model, the dynamic conditional correlation model, and the time-varying conditional correlation model.

Example of mgarch dvech

Setup . webuse stocks

Fit a VAR(1) model of changes in toyota and honda, allowing for ARCH(1) errors . mgarch dvech (toyota honda = L.toyota L.honda), arch(1)

Example of mgarch dcc

Fit a VAR(1) model of changes in honda and nissan, allowing for ARCH(1) and GARCH(1) errors . mgarch dcc (honda nissan = L.honda L.nissan), arch(1) garch(1)


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index