BIVARIATE GARCH BEKK

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trubador
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Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: BIVARIATE GARCH BEKK

Postby trubador » Thu Sep 03, 2015 1:01 pm

It works just fine. Could please check the build date of your EViews? (go to Help->About EViews)

nenolusi
Posts: 18
Joined: Wed Jun 17, 2015 1:10 am

Re: BIVARIATE GARCH BEKK

Postby nenolusi » Thu Sep 03, 2015 6:22 pm

Dear Trubador,

Thank you for your patience and apologies for the late reply. The office closed and I did not have access to Eviews.

The build date is April 27 2015.

nenolusi
Posts: 18
Joined: Wed Jun 17, 2015 1:10 am

Re: BIVARIATE GARCH BEKK

Postby nenolusi » Thu Sep 03, 2015 10:19 pm

Dear Trubador,

Thanks for your patience and assistance. I have resolved it.

nenolusi
Posts: 18
Joined: Wed Jun 17, 2015 1:10 am

Re: BIVARIATE GARCH BEKK

Postby nenolusi » Thu Sep 03, 2015 11:10 pm

Dr Trubador,

I am having an issue with the estimation of the 10 minutes interval in the second sample period.
The error message is "Attempt to raise a negative number to a non integer power -
Missing data generated in "SERIES STRES1 = RES1 /(VAR_R1 ^ .5)"

Please how can I resolve this?

Thank you.

trubador
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Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: BIVARIATE GARCH BEKK

Postby trubador » Fri Sep 04, 2015 12:09 am

Estimated coefficients yield a negative value for the variance at some point. Change the starting values and re-estimate the model until you have a statistically valid and feasible output.

nenolusi
Posts: 18
Joined: Wed Jun 17, 2015 1:10 am

Re: BIVARIATE GARCH BEKK

Postby nenolusi » Fri Sep 04, 2015 1:15 am

Thanks. It worked.

I am so grateful.

georgiana091296
Posts: 1
Joined: Sat Mar 10, 2018 12:19 pm

Re: BIVARIATE GARCH BEKK

Postby georgiana091296 » Mon Mar 12, 2018 2:21 am

Hello. I tried to estimate a bivariate bekk model using this code but i can't understand how to interpret the result. I need to know which is diagonal and off diagonal elements of matrix alpha and matrix beta. The result show me only 3 elements and i don't know about the fourth one. I thought maybe this matrices are restricted lower or upper triangular but the methodology says that should be unrestricted. Thanks a lot for the code and for your help.


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