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- Tue Apr 07, 2015 11:07 pm
- Forum: Estimation
- Topic: Check the relation non-linear by the model GACH-BEKK
- Replies: 0
- Views: 1439
Check the relation non-linear by the model GACH-BEKK
I need to check the existence of a nonlinear relationship between variables dlaisuat dlncpi dlngdp dlnm2 to dlntygia. I was the user manual model GARCH-BEKK . However I don't know wait code in model GARCH-BEKK. My model GARCH optimum is GARCH(1,1) and equation forecast is : Rt = 0.934541 Rt-1 - 0.75...