Multivariate GARCH in mean in Stata

[Aakanksha Melkani]

Dear Statalist,
I want to conduct a multivariate GARCH in mean analysis. Specifically, I want to model the conditional var-covar matrix as an additional regressor in the conditional mean equation.
I am aware of the MGARCH command in Stata. However, I am not sure if there is a feature that will allow me to conduct a GARCH-in-mean type of analysis. Or if there any user-written code that can help me with this problem.

Thank you for your help in advance,
Aakanksha

[Allan Gregory]

At present there is no multivariate MGARCH. You might try to do each variable individually, and then try to iterate across the models sequentially. But this is a hard problem

[Aakanksha Melkani]

Thanks Allan, I guess you meant ' At present there is no Multivariate GARCH in mean'.
Yes, that was my understanding too, Thanks for confirming.