Thank you for this. Everywhere I see an example for AR(1) is shown and AR(p) is simply stated and left.

Very very good video, can you please make play lists and number the topics in an order, you are very good teacher and I think you channel can be very good if you just order it a little bit. Good luck.

Good explanation concerning the application of two variable CCC-GARCH model. Thank you.

How can estimate arma-garch in oxmetrics and making predictions out sample

thank you. One question though, is there a way to get the impact multipliers from these roots?

This is a very good explanation and presentation. I have a question regarding diagnostics: What types of diagnostics should we use for the model? Should we check the standard diagnostics for the each univariate GARCH model(autocorrelation, (conditional)heteroskedasticity, model stability, residual distribution fit) and also what kinds of diagnostics for the MGARCH estimation? Thank you!

Instead of "setting" epsilon_0 to 0, can you think of 0 as being the maximimum likelihood estimate of epsilon_0?

The epsilons cannot be computed without alpha. Where does alpha come from??

Good video, but I want to know the software or the application used to model the impulse response. thank you.

Dear Sir Thank you so much for this video I need to construct a News impact curve in my Ph.D work. I checked every were to get some idea about the same Only one video that i got is yours Still i have some confusions Will you pls assist me to do the same Best Regards Neenu It will be beneficial for me Please do respond to the query

Thank you for this effort

How to use instrument variable method to estimate the regression coefficient in first order autoregressive model???

Good job. Would you create another video about DCC GARCH?

What software is this?

Do you have some source for this one? Like paper or journal or book?

Hello sir, do you know about how to do mle in markov switching autoregressive?

Is the estimator biased? How?

I am a beginner. I am unable to get PcGive window. I am using 9th version. Please help me.

Well understand

which programm do you use in this video R or eviews or rats

thank you so much for the vedio. By the way, what is the correlation here actually describing? the corr between return? or the corr between volatility>

thanks a lot.

Thank you for the video, but how about the confidence bands

Thank you sir. much love

Great!

Thanks for all these wonderful videos. They are so helpful! I will definetely apply as visiting student to Copenhagen university.

Hello Rasmus. Thank you very much for this video. It's very well explained. Do you have this same explanation for the AR(P)?

What is difference between CVAR and VECM...or same thing but different names?

Thank you! It was definitely very helpful!

Hello Mr. Pedersen, thank you for this video, very helpful. But please can you assist me with the link video on how I can run a DECO GARCH model with OXMETRICS. Thank you

Thank you!

THANK ALOT

hello can you please share the coding

Thanks for sharing.It is really helpful! And how to save graphs as .gwg with Ox code ?

Thank you, thank you, very much!! I finally understood

good video. thank you. how do you get the confidence bands

Good work🙃👍

Hi can you show sign restrictions. Many thanks.

slide 28/45, slite mistake, (~z)t-1=(1,zt-1',zt-2',...) and size is (1+pk)*1 instead of (~z)t-1=(1',zt-1',zt-2',...). otw great explanation, thank you a lot

Thanks for this very illustrative video, could you also make one for vech/dvech models?

Hi Rasmus P., It too helpful, please deliver the link in which I can download the software (OxMetrics Version 8 ) to my window!

Plz check your email I send you email thanks

very good video, can you please make a BEKK GARCH model in r video?

thank you very much, please we can do it in Oxmetrics7 ?? and i need this code

Thank you very much we wait DCC and BEKK

Very well explained. Keep these posting. Your way of teaching is superb. Thanks for uploading such informative videos.

Thanks, Its really helpful, I hope you can also post a video about BEKK or DCC

How I can use the gmm instead of mle to estimate garch

is 7:18, sigma(1,t)^2= ... Beta1*sigma(2,t-1)^2 a mistake, shouldn't be sigma(1,t)^2= ... Beta1*sigma(1,t-1)^2 ?

Good video. Ideal for those knowing GARCH but not dynamic GARCH. The explaination is clear and understanable. Thanks