Hello,
Any suggestions please?
Thank you
Search found 5 matches
- Mon Jun 01, 2020 4:30 am
- Forum: Estimation
- Topic: Portmanteau Test using Standard Residuals for Unrestricted BEKK
- Replies: 1
- Views: 4106
- Sun May 31, 2020 6:29 am
- Forum: Estimation
- Topic: Portmanteau Test using Standard Residuals for Unrestricted BEKK
- Replies: 1
- Views: 4106
Portmanteau Test using Standard Residuals for Unrestricted BEKK
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 l...
- Fri Apr 10, 2020 11:47 am
- Forum: Econometric Discussions
- Topic: DCC GARCH BIVARIATE
- Replies: 0
- Views: 8333
DCC GARCH BIVARIATE
Hello I estimating a bivariate DCC GARCH model to analyse sectoral time-varying conditional correlation between CDS and equity returns. The parameters in the CDS Garch Equation are significant but the summation in some case is higher than 1 (although variables are stationary). I attached a case for ...
- Mon Sep 07, 2015 6:35 am
- Forum: Estimation
- Topic: FOURVARIATE GARCH BEKK MODEL
- Replies: 2
- Views: 3250
Re: FOURVARIATE GARCH BEKK MODEL
Thank you for your message. Could an increase in frequency be the solution?
- Sun Sep 06, 2015 4:41 am
- Forum: Estimation
- Topic: FOURVARIATE GARCH BEKK MODEL
- Replies: 2
- Views: 3250
FOURVARIATE GARCH BEKK MODEL
Hello, I am trying to run a FOURVARIATE GARCH BEKK MODEL, however I encountered a problem at the very last part. The error message reads ' Overflow in scalar lr = -2*(eq1.@logl + eq2.@logl + eq3.@logl + eq4.@logl - fvgarch.@logl ) ). Here the alphas and betas have an initial value of 0.1. I tried to...