Search found 1 match
- Wed Nov 23, 2011 3:17 am
- Forum: Programming
- Topic: Forecasting variance/covariance Diagonal BEKK
- Replies: 0
- Views: 2064
Forecasting variance/covariance Diagonal BEKK
Hello, for my thesis I am trying to forecast the variance and covariance of two series (spot and futures series), both in- and out-sample (in-sample 85%). The code below was found on this forum, however when I try to run the forecast something goes wrong and the forecast is not produced. I believe t...