VECM GARCH MODEL
1. What is VECM GARCH model?
Professor Shishir Shakya commented as such > Say u have 3 variable and with because u will
have 3 system of equations. Get each equation then take out residual then run GARCH do it for
remaining Two equation! That's VECM- GARCH.
Meo School of Research
VECM GARCH Model
Hossain Academy Note