Search found 1 match
- Mon Jul 27, 2009 6:14 am
- Forum: Estimation
- Topic: Help! Bivariate GARCH-BEKK estimation
- Replies: 8
- Views: 18078
Re: Help! Bivariate GARCH-BEKK estimation
Hello everyone, I am also facing a problem with Garch Bekk est. ; I have estimated parameters of (also bivariate) BEKK model, but as I have noticed matrices with alpha and beta parameters are diagonal and therefore I can estimate only if the there is some volatility spillover but I can not indentify...