Matlab code for VECM-Garch
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Does exist a matlab code which estimates a VECM - Garch, that is a multivariate cointegration model with Garch effect?
Thanks
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Shashank Prasanna
2013-7-7
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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:
Also, take a look this:
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