Portmanteau Test using Standard Residuals for Unrestricted BEKK

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danchris2015
Posts: 5
Joined: Sun Sep 06, 2015 2:58 am

Portmanteau Test using Standard Residuals for Unrestricted BEKK

Postby danchris2015 » Sun May 31, 2020 6:29 am

Hello
I am using a unrestricted BEKK to assess volatility spillovers between CDS and equity returns - using the attached code. At the end I want to test whether there is evidence of autocorrelation in the standardised residuals. However in the bv-garch output I do not have this option. Can someone let me know how to conduct this test following the BEKK estimation? Thank you
Attachments
BEKK_PROG.docx
(19.08 KiB) Downloaded 11 times

danchris2015
Posts: 5
Joined: Sun Sep 06, 2015 2:58 am

Re: Portmanteau Test using Standard Residuals for Unrestricted BEKK

Postby danchris2015 » Mon Jun 01, 2020 4:30 am

Hello,
Any suggestions please?
Thank you


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