mean spillovers

[selin1000]

Hi! I am estimating pairwise diagonal BEKK models on Eviews with system specification in order to understand volatility spillovers among multiple countries’ indices. I use AR(1) and AR(2) as regressor terms and I have two dependent variables in log terms. However, I am confused about how I can compute the mean spillovers between the countries. Do I include the lagged indices of one country as a regressor for another when I specify the systems? I appreciate your answer in advance. Thank you so much!:)

[trubador]

Yes, you should define your mean equations as if you are making a VAR model.