Search found 2 matches
- Sat Nov 29, 2014 3:33 am
- Forum: Econometric Discussions
- Topic: Forecasting a bivariate BEKK GARCH
- Replies: 1
- Views: 2584
- Sat Nov 08, 2014 7:37 am
- Forum: Econometric Discussions
- Topic: Forecasting a bivariate BEKK GARCH
- Replies: 1
- Views: 2584
Forecasting a bivariate BEKK GARCH
Hi everyone, Could someone please assist me on how to forecast a bivariate BEKK GARCH for an out of sample period. I have been able to come up with the individual variances of two series y1 and y2 and also their covariance over time. However I have had problems forecasting. I have tried using a code...