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- Fri Aug 20, 2010 9:44 pm
- Forum: Estimation
- Topic: BEKK GARCH(2,2)
- Replies: 0
- Views: 1602
BEKK GARCH(2,2)
How can I estimate a BEKK GARCH(2,2)? The following code does not work: ' sp and tsx are two returns series system sys1 sys1.append sp=c(1) sys1.append tsx=c(2) sys1.arch @diagbekk c arch(2) garch(2) eviews returns the following error message: Coefficient matrix of system ARCH must be rank 1 or full...