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i really need your help how i can run the ling and McAleer(2003) model (VAR-GARCH) and McAleer (2009) model(VAR-AGARCH) with spillover response? and can you help me how i can run DCC-EGARCH with spillover response and conditional mean VAR?

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  • $\begingroup$ Do you need software implementation? Try out rugarch and rmgarch packages in R. VAR-GARCH and EGARCH-DCC should be available, also perhaps VAR-AGARCH. $\endgroup$
    – Richard Hardy
    Commented Feb 25, 2015 at 6:56
  • $\begingroup$ i have question have these packages VAR-GARCH or VAR-AGARCH with spillover effect? $\endgroup$
    – Mohammad Rahimi
    Commented Feb 25, 2015 at 9:48
  • $\begingroup$ As long as you know what model you want to use to model the spillover effect, you can look for it in the help files or vignettes for the packages mentioned above. If you do not know what model you want to use, then you should either decide on that first or look into the help files and vignettes for ideas. $\endgroup$
    – Richard Hardy
    Commented Feb 25, 2015 at 9:51
  • $\begingroup$ Since you edited your comment, here is another answer: trying to implement spillover effects without defining them in a model makes no sense. It's not the way statistical software is supposed to work. When you go into a restaurant you normally do not just say "I am hungry, please do something!" but you rather choose from what is on the menu. And if you do not like the menu, you go to another restaurant. And if you do not like that one, you go home and cook for yourself. But still each choice is pretty concrete. $\endgroup$
    – Richard Hardy
    Commented Feb 25, 2015 at 10:05
  • $\begingroup$ i want to run VARMA-GARCH and VARMA-AGARCH and these models include spillover effects in modeling $\endgroup$
    – Mohammad Rahimi
    Commented Feb 25, 2015 at 10:18

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