Multivariate GARCH models - help needed with implementation and interpretation

[James Renner]

For a research project, I'm investigating the connectedness between major financial markets from an econometric point of view.

I've identified that using a multivariate GARCH model fits my data and provides the best analysis to my research project. However, I need some help with implementing this model in Stata.

Using log daily returns of the FTSE 100, S&P 500 and the CSI 300 indices, I've attempted to run a multivariate CCC-GARCH(1,1) model with the following code:
mgarch ccc (FTSE100 = L.FTSE100) (SP500 = L.SP500) (CSI300 = L.CSI300), arch(1) garch(1)
Above, I believe I have written each of the mean equations of the 3 variables as the following:



Then the Stata output:





Following this, I wanted to know if I have correctly specified the multivariate GARCH model in Stata, and if so, how to interpret the results as the coefficients and constants in the GARCH model.

Thanks.

[Nick Cox]

Posted in different form by "J. Smith" at https://stats.stackexchange.com/ques...ation-and-inte (no replies to date)

Please note our cross-posting policy, which is that you tell us about it.

[James Renner]

Cross-posted on Stack Overflow - https://stats.stackexchange.com/ques...c89cd99257e812

[Nick Cox]

Cross Validated, but the link tells you that. The advice in #2 was for the future -- but no harm done in being told twice.

Not my field at all, otherwise I would try to answer.