Yes, I have, all of them. But I just cannot find any post that would say how to get the full rank matrix in the end. I am doing basicaly the same what all the posts say, but still get only the coefficients on the diagonal. Is there any way how I can find what I am doing wrong?
Thank you.
Search found 2 matches
- Sun Mar 15, 2015 4:09 am
- Forum: Estimation
- Topic: Bivariate VAR-GARCH
- Replies: 7
- Views: 11186
- Sat Mar 14, 2015 9:33 am
- Forum: Estimation
- Topic: Bivariate VAR-GARCH
- Replies: 7
- Views: 11186
Bivariate VAR-GARCH
Hello, I have done VAR with the following equations: X = C(1)*X(-1) + C(2)*Y(-1) + C(3) + C(4)*FX(-1) + C(6)*Z(-1) Y = C(7)*X(-1) + C(8)*Y(-1) + C(9) + C(11)*FY(-1) + C(12)*Z(-1) and then I estimated the garch model with the diagonal BEKK. That all went great, but the diagonal BEKK gives me only the...