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- Mon Apr 12, 2010 7:59 am
- Forum: Estimation
- Topic: multivariate GARCH forecast code! help!!!
- Replies: 4
- Views: 10000
Re: multivariate GARCH ! help!!!
Well i have a question. What makes the steps for calculation of multivariate GARCH BEKK parametrization. What i understood is that first we have to estimate an AR(1) equation. Second we have to use the residual terms as inputs to the multivariate garch model. Please correct me if, -we need to standa...