Hello,
Does anyone have a code for me to estimate a trivariate MGARCH BEKK Model?
EViews does have an add in for a diagonal BEKK Model, but I need to estimate the full model for three variables.
Thanks.
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- Wed Oct 17, 2018 7:27 am
- Forum: Estimation
- Topic: Estimating a MGARCH BEKK Model
- Replies: 0
- Views: 3314