Hello
I am using a unrestricted BEKK to assess volatility spillovers between CDS and equity returns - using the attached code. At the end I want to test whether there is evidence of autocorrelation in the standardised residuals. However in the bv-garch output I do not have this option. Can someone let me know how to conduct this test following the BEKK estimation? Thank you
Portmanteau Test using Standard Residuals for Unrestricted BEKK
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Portmanteau Test using Standard Residuals for Unrestricted BEKK
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- BEKK_PROG.docx
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- Posts: 5
- Joined: Sun Sep 06, 2015 2:58 am
Re: Portmanteau Test using Standard Residuals for Unrestricted BEKK
Hello,
Any suggestions please?
Thank you
Any suggestions please?
Thank you
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