Search found 2 matches
- Tue Jul 12, 2016 5:10 am
- Forum: Econometric Discussions
- Topic: How to read the result of BEKK GARCH model for testing volatility spillover between Asian stock markets
- Replies: 3
- Views: 18290
- Mon Jul 11, 2016 5:39 pm
- Forum: Econometric Discussions
- Topic: How to read the result of BEKK GARCH model for testing volatility spillover between Asian stock markets
- Replies: 3
- Views: 18290
How to read the result of BEKK GARCH model for testing volatility spillover between Asian stock markets
Hello all, I am doing a dissertation about volatility spillover effects between several Asian stock markets. Here is the workfile in the attachment. I am trying to use the multivariate GARCH model to test the volatility spillover and I have several questions as follow: 1. In Eviews, it only has diag...