Matlab code for VECM-Garch

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Monica
Monica 2013년 7월 7일
Does exist a matlab code which estimates a VECM - Garch, that is a multivariate cointegration model with Garch effect?
Thanks

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답변 (1개)

Shashank Prasanna
Shashank Prasanna 2013년 7월 7일
The garch framework in the Econometrics Toolbox currently does not support multivariate garch models. However there is support for VARMAX models as well as error correction model here:
http://www.mathworks.com/help/econ/identify-cointegration.html
Also, take a look this:
http://www.spatial-econometrics.com/

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