I am trying to estimate GARCH models with the use of Hansen's (1994) skew-t distribution. I am using matlab's ARMAX-GARCH-K toolbox, where the log-likelihood is calculated as: ...
calculating the volatility for a single stock is straightforward. However, I'm not sure whether my approach for calculating the volatility matrix for multiple stocks is correct: I assume a log-normal ...
Here is how I am interpreting results of a Johansen Cointegration Test and Engel-Granger Test for A and B. The results:(Using matlab) ...