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Hi there, I have estimated a BGARCH-BEKK model for series y1 and y2, have saved the GARCH1,GARCH2,COV1_2, and RESID1, RESID2. I want to compute the the conditional covariance forecast. I know how to do one-step ahead forecasts for condional covariance (eg: cov(y1_t, y2_t |give information up to time...

Dear All, I noticed a mistake for betas. It should have read: But the hedge ratio for T-2 and T-3 and T-4 is, Beta(T-2) = Cov(Spot at T, Futures at T-1 | given information up to T-2) / Var(Futures at T-1| given information up to T-2) Beta(T-3) = Cov(Spot at T, Futures at T-2 | given information up t...

Hi all, I am using Eviews6 and trying to implement the Haigh&Holt (2002) dynamic programming model. It is essentially a BEKK-BiVar-GARCH, but the hedge ratios are calculated slightly different. With a 4-week hedging horizon. Beta(T-1) = Cov(Spot at T, Futures at T-1 | given information up to T-1...