Matlab code for VECM-Garch

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Monica
Monica 2013 年 7 月 7 日
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
Shashank Prasanna 2013 年 7 月 7 日
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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