Hello all,
I am doing a dissertation about volatility spillover effects between several Asian stock markets. Here is the workfile in the attachment.
I am trying to use the multivariate GARCH model to test the volatility spillover and I have several questions as follow:
1. In Eviews, it only has diagonal BEKK GARCH model in the estimate. Can I use this model to test the volatility spillover? And the ARCH coefficient restriction I choose Indefinite Matrix, am I right?
2. The sys01 in attachment shows the result of BEKK GARCH model which I do it for the stock index returns in my paper. How can I read the result?
3, Also the same question for the CCC model. Can I use CCC model to test the volatility spillover? What should I choose for coefficient restriction? Scalar?
Thanks for your reading. Hope for the feedback soon.
@STACKINST
@INST
CSI = C(1)
STI = C(2)
SET = C(3)
JCI = C(4)
FBMKLCI = C(5)
PCOMP = C(6)
How to read the result of BEKK GARCH model for testing volatility spillover between Asian stock markets
Moderators: EViews Gareth, EViews Moderator
How to read the result of BEKK GARCH model for testing volatility spillover between Asian stock markets
 Attachments

 shujushuju.wf1
 (256.79 KiB) Downloaded 112 times
Re: How to read the result of BEKK GARCH model for testing volatility spillover between Asian stock markets
Hi,
I have read all over the forum about the diagonal BEKK results interpretation but I am still confused .
I underestand that if I have a bivariate diagonal BEKK estimation including asset i and j, then matrix A represents the effect of shock in asset i at time t1 on the subsequent covolatility between assets i and j at time t. However, what if we estimate a multivariage diagonal BEKK?
For example, I am including 10 markets (n=1...10) and I have the coefficients for A(1,1), ...A(10,10), and also B(1,1)...B(10,10), can some one please help me to interprete these results about having more than two asset in the BEKK model?
Moreover, I am very confused about the variance equation, I cant figure out which are the ARCH and GARCH estimations in variance equation.... is there any source to have a clear interpretation about these results from Eviews or is there any one that can kindly help me about it?
I attached my results,
Thanks
Shwan
I have read all over the forum about the diagonal BEKK results interpretation but I am still confused .
I underestand that if I have a bivariate diagonal BEKK estimation including asset i and j, then matrix A represents the effect of shock in asset i at time t1 on the subsequent covolatility between assets i and j at time t. However, what if we estimate a multivariage diagonal BEKK?
For example, I am including 10 markets (n=1...10) and I have the coefficients for A(1,1), ...A(10,10), and also B(1,1)...B(10,10), can some one please help me to interprete these results about having more than two asset in the BEKK model?
Moreover, I am very confused about the variance equation, I cant figure out which are the ARCH and GARCH estimations in variance equation.... is there any source to have a clear interpretation about these results from Eviews or is there any one that can kindly help me about it?
I attached my results,
Thanks
Shwan
 Attachments

 BEKK2.docx
 (25.46 KiB) Downloaded 67 times
Return to “Econometric Discussions”
Who is online
Users browsing this forum: No registered users and 6 guests