Estimating a MGARCH BEKK Model

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jppotkamp
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Joined: Wed Oct 17, 2018 1:43 am

Estimating a MGARCH BEKK Model

Postby jppotkamp » Wed Oct 17, 2018 7:27 am

Hello,

Does anyone have a code for me to estimate a trivariate MGARCH BEKK Model?
EViews does have an add in for a diagonal BEKK Model, but I need to estimate the full model for three variables.

Thanks.

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