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- Mon Dec 09, 2019 8:27 am
- Forum: Econometric Discussions
- Topic: Volatility Spillover results interpretation
- Replies: 0
- Views: 8518
Volatility Spillover results interpretation
Hello, I am trying to find volatilty spillovers between two daily return series R1 and R2. So far I have run the diagonal BEKK and VECH model, but I don’t know how to interpret the results. I would really appreciate it if someone could tell me the meaning oft the coefficients. Thank you very much! B...