Multivariate GARCH-BEKK

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Joined: Fri Jan 04, 2019 6:31 am

Multivariate GARCH-BEKK

Postby Sasquatch » Sat Jan 05, 2019 4:59 am

Hello everyone!

I am conducting studies with capital market variables and economic activity in some Latin American countries. The study traces the period of the global economic crisis of 2008.

I have 10 endogenous variables and 2 exogenous dummy variables (one for the crisis period and another for the post-crisis period, the pre-crisis period given by the constant). I have monthly data from 2003M1 until 2017M12 (180 observations for each variable).

I am interested in analyzing the volatility transmissions between variables before, during and after the 2008 crisis with a GARCH-BEKK multivariate model. To do so, I followed the following steps:

1) Initially I created a new system and stipulated the following equations:
lnmerval = C (1)
lnemae = C (2)
lnibov = C (3)
lnibcbr = C (4)
lnipsa = C (5)
lnimacec = C (6)
lnipc = C (7)
lnigae = C (8)
lnsp500 = C (9)
lnusphci = C (10)
dummycrise = C (11)
dummyposcrise = C (12)

2) In "estimate" I chose ARCH - Conditional Heteroskedasticity ", model type equal to" Diagonal BEKK "and coefficient" GARCH (1).

3) Then I estimated the model.

I did not find in the forum conclusive answers to my doubts involving the GARCH-BEKK model and dummy variables. If anyone can help, my doubts are as follows:

1) Is the procedure correct?

2) Have the exogenous dummy variables been considered correctly? If not, how to consider them?

3) The result returns the coefficients created and their statistical data, coefficients of the variance equations and transformed coefficients of the variances. How to interpret the results?

Thanks in advance for any help.

Posts: 6
Joined: Tue Feb 19, 2019 3:18 am

Re: Multivariate GARCH-BEKK

Postby vaibhavapj » Tue Feb 19, 2019 11:01 am


Request you to please share some video links to understand what is Bekk model and DCC model and then how to perform in eviews please

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