Search found 2 matches
- Tue Jun 23, 2009 8:59 am
- Forum: Estimation
- Topic: Multivariate GARCH A(1,2) and B(1,2)
- Replies: 3
- Views: 4582
Re: Multivariate GARCH A(1,2) and B(1,2)
Actually, when I pick BEKK in model type, dont get option to do "indefinite matrix". I guess I need regular BEKK in model type and I dont know how to get it. I am trying to look for spillover effects and need all 11 parameters including a12 and a21, also b12 and b21. Is there anyway I can ...
- Fri Jun 12, 2009 10:10 am
- Forum: Estimation
- Topic: Multivariate GARCH A(1,2) and B(1,2)
- Replies: 3
- Views: 4582
Multivariate GARCH A(1,2) and B(1,2)
Choosing variables as a system and picking BEKK or VECH with arch 1 and garch, I get M11, M12, M22, A11, A22, B11, B22.
How do we estimate A12, A21, B12, B21
How do we estimate A12, A21, B12, B21