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- Sun Mar 26, 2017 3:22 pm
- Forum: Estimation
- Topic: Wald test garch bekk
- Replies: 0
- Views: 3509
Wald test garch bekk
Can anyone help me with This? Consider data from the equity, bond and CDS markets. Use Use a GARCH-BEKK model (3 markets therefore A and B are 3x3 matrices and the model has 24 parameters). Refer to slide 13 in the lecture notes: To test the hypothesis that variance in series 2 causes variance in se...