Wald test garch bekk

[yellowgirl]

Can anyone help me with This?

Consider data from the equity, bond and CDS markets. Use

Use a GARCH-BEKK model (3 markets therefore A and B are 3x3 matrices and the model has 24 parameters).

Refer to slide 13 in the lecture notes: To test the hypothesis that variance in series 2 causes variance in series 1 you need to test the hypothesis that α21=β21=0.

Complete a Wald coefficient test to complete in Eviews (Note: due to the diagonal restriction need to program the model manually to test using the logl function.)