Bivariate VAR-GARCH

[Tereza]

Hello,

I have done VAR with the following equations:

X = C(1)*X(-1) + C(2)*Y(-1) + C(3) + C(4)*FX(-1) + C(6)*Z(-1)

Y = C(7)*X(-1) + C(8)*Y(-1) + C(9) + C(11)*FY(-1) + C(12)*Z(-1)

and then I estimated the garch model with the diagonal BEKK. That all went great, but the diagonal BEKK gives me only the diagonal variance coeficients:

M(1,1)
M(1,2)
M(2,2)
A1(1,1)
A1(2,2)
B1(1,1)
B1(2,2)

and as I am checking on for spillover effects, I need the remaining coeficients from the matricies as well.

Is there please any way how I can get them?

Thank you.

[trubador]

Have you tried searching the forum for the keywords "spillover", "VAR-GARCH" or "BEKK"?

[Tereza]

Yes, I have, all of them. But I just cannot find any post that would say how to get the full rank matrix in the end. I am doing basicaly the same what all the posts say, but still get only the coefficients on the diagonal. Is there any way how I can find what I am doing wrong?

Thank you.

[trubador]

As you might have noticed, EViews does only diagonal BEKK estimation through System object. You need to build your model explicitly via using LogL object. And those posts will guide you during the process.

[thulz]

is there a code that incorporate regime switching in the VAR GARCH OR VAR GARCH-M?

[demoisellesalma]

hii
I have estimated a bivariate VAR-BEKK diagonal asymetric using eviews . but I don't know how to interprate the negative cross-ARCH effect.

can u help me please . thank u in advance
Substituted Coefficients:
=====================
GARCH1 = 0.0490233447915+0.00221065915359*RESID1(-1)^2+0.152068232098*RESID1(-1)^2*(RESID1(-1)<0)+0.902311451329*GARCH1(-1)

GARCH2 = 0.0303109112553+0.00147036218806*RESID2(-1)^2+0.131097509737*RESID2(-1)^2*(RESID2(-1)<0)+0.912888633486*GARCH2(-1)

COV1_2 = 0.0362849733969 -0.00180290588499*RESID1(-1)*RESID2(-1) + 0.141194074019*RESID1(-1)*(RESID1(-1)<0)*RESID2(-1)*(RESID2(-1)<0) + 0.90758463395*COV1_2(-1)

[trubador]

Unfortunately, BEKK coefficients do not have a direct/easy interpretation. You need to try alternative values of resids and see how the results respond.

[demoisellesalma]

hii please I have some confusions and I need your help

I have estimated a bivariate diagonal VAR-BEKK model of 3 sub -periods. I want to test contagion in the strict sense(ie is there a significant increase for the coefficients of transmission between the quiet period and the period of crisis ). Is the difference in this case is the difference between the covariance matrix? if is the case wchich command should I use? how to procced to have the significance of the difference? I would be very grateful if you help me please . thank you in advance