Hi all,
I am working on an Eviews program to estimate volatility spillovers in a bivariate BEKKGARCH framework. My univariate GARCH series are estimated using the Component GARCH (CGARCH) model. My unrestricted bivariate BEKK is a modification of Eviews own example program of a restricted bivariate BEKKGARCH.
My idea is that since the CGARCH(1,1) model could be rewritten as a GARCH(2,2) model, I should add the estimated coefficients as follows to get the initialisation values for my bivariate BEKK:
'CGARCH(1,1): GARCH = Q + alpha(RESID(1)^2  Q(1)) + beta(GARCH(1)  Q(1)),
'Q = omega + rho(Q(1)  omega) + phi(RESID(1)^2  GARCH(1)) can be rewritten as a GARCH(2,2) process:
'GARCH(2,2) = omega + alpha(1)*RESID(1)^2 + alpha(2)*RESID(2)^2 + beta(1)*GARCH(1) + beta(2)*GARCH(2)
'Hence:
'CGARCH(1,1) = GARCH(2,2) = (1alphabeta)(1rho)*omega + (alpha + phi)*RESID(1)^2  (alpha*rho + (alpha + beta)*phi)*RESID(2)^2 + (beta  phi)*GARCH(1)  (beta*rho  (alpha + beta)*phi)*GARCH(2)
'omega(1) = (1alphabeta)(1rho)*omega
'alpha(1) = (alpha + phi)  (alpha*rho +(alpha + beta)*phi)
'beta(1) = (beta  phi)  (beta*rho  (alpha + beta)*phi)
Now, I am not used to programming this kind of complex models, and I just want to know if I've got this correctly. The version attached is very basic and I know that the unovariate series aren't wellfitted. I just wanted to make it as simple as possible to read. If anyone would want to give me some feedback, it would be greatly appreciated!
Best, Amanda
Help with coding a CGARCHBEKK
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Help with coding a CGARCHBEKK
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