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st: multivariate GARCH model with


From   annoporci <annoporci@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: multivariate GARCH model with
Date   Fri, 01 Feb 2013 04:01:07 +0800

I have been experimenting with univariate GARCH regressions. I have found the abarch/sdgarch/tarch variants to work well on my data.

I'd like to apply these variants to a multivariate GARCH setting. However, only the basic arch and garch options seem to be available, based on my reading of the official Stata documentation.

Is there a way to apply the capabilities of the univariate arch to the multivariate setting? a clever hijacking or copy-pasting blocks of code from the ado files ... any suggestions?

Thanks.

sysuse stocks, clear
local var toyota
arch `var', abarch(1) sdgarch(1) tarch(1)

sysuse stocks, clear
local dependent toyota nissan
local explanatory honda
tsset t
mgarch dcc (`dependent' = `explanatory', het(`explanatory')) ///
           , arch(1) garch(1) distribution(t)

References:
http://www.stata.com/stata12/multivariate-garch/
http://www.stata.com/features/arch-garch/arch.pdf

--
Patrick Toche.
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