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Thanks. I did otherwise. Instead of fitting the diagonal BEKK to the residuals obtained from each conditional AR mean equation, I define the system first hand in EVIEWS as @STACKINST @INST SERIES02 = C(1) + c(2)*SERIES02(-1) SERIES01= C(3) + C(4)*SERIES01(-1) where both series are now the daily log ...

Hi Folks, I have a quick question on the diagonal BEKK estimation in EVIEWS. Suppose I have 2 sets of daily log returns ( S&P500 , FTSE100) I call it Rs&p and Rftse and I fitted a ARMA(1,0) model as the conditional mean for both returns; Rs&p(t) = c1 + c2Rs&p(t-1) + e1t Rftse(t)=c3 ...

Hi Folks, I have a quick question on the diagonal BEKK estimation in EVIEWS. Suppose I have 2 sets of daily log returns ( S&P500 , FTSE100) I call it Rs&p and Rftse and I fitted a ARMA(1,0) model as the conditional mean for both returns; Rs&p(t) = c1 + c2Rs&p(t-1) + e1t Rftse(t)=c3 +...