Our findings thus offer interesting insights in terms of investment and diversification, and offer further insights into systemic risk in these regions. Simple interdependence with the US market characterizes the other markets. Since estimating Multivariate GARCH models (MGARCH) is time consuming, both in terms of computations and their programming (if needed), it is desir able to check ex ante whether the data present evidence of multivariate ARCH effects. Second, with respect to the contagion test by Forbes and Rigobon (2002) that associates “pure” contagion with a significantly higher correlation between markets during the crisis, our results showed that the “pure” contagion hypothesis is not rejected for France, Italy, the UK or Mexico at the level of 1%, and for Argentina at 10%. Video 10 Estimating and interpreting a GARCH (1,1) model on Eviews Imperium. First, we highlighted an increase in dynamic correlations following the subprime crisis for most markets under consideration with regard to the U.S. You can build a multivariate garch in mean framework in EViews and estimate. Our findings make two interesting contributions to the field. dynamic multivariate GARCH, Energy Economics, 33(5) (2011) 912-923.
![multivariate garch eviews 10 multivariate garch eviews 10](https://www.timberlake.co.uk/wp/wp-content/uploads/2020/11/EViews12_artwork1-1024x324.png)
![multivariate garch eviews 10 multivariate garch eviews 10](https://www.researchgate.net/profile/Theocharis-Iosifidis/post/What-are-this-lines-in-the-DCC-GARCH-output-in-eviews-Can-someone-help-me-please/attachment/5cb75e8fcfe4a7df4ae97557/AS%3A748724196229120%401555521167134/image/Screenshot_4.png)
In order to capture further time-variation in contagion effects and dynamic linkages between stock markets, our paper makes use of a DCC–MGARH model. DCC is not linear, but may be estimated in EViews by using a two-step method.
![multivariate garch eviews 10 multivariate garch eviews 10](http://www.ekolar.com/wp-content/uploads/2018/02/ekonometri-garch-model-ders-notlari-768x428.jpg)
This paper investigates the contagion hypothesis for ten developed and emerging stock markets (France, Italy, UK, Japan, China, Argentina, Mexico, Tunisia, Morocco and Egypt) with respect to the US market in the context of the subprime crisis.