Unrestricted Bekk Garch Model (with overlapping volatility)

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JamesEviews
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Joined: Mon Nov 01, 2010 2:53 am

Unrestricted Bekk Garch Model (with overlapping volatility)

Postby JamesEviews » Tue Nov 23, 2010 12:11 am

Dear Colleagues
If anyone has a code to estimate the "unrestricted Bekk Garch Model" and does not mind to share, kindly assist me. I am new to programming, and it is taking me a while to figure out things in programs. I need to estimate overlapping multicountry (or multivariate) volatitlity.
Hoping for a positive response, I thank you in advance.
james.

trubador
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Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: Unrestricted Bekk Garch Model (with overlapping volatility)

Postby trubador » Wed Nov 24, 2010 2:42 am

I think the following two posts might give you the general idea: Diagonal BEKK (garch-in-mean) and Low Triangular BEKK (garch-in-mean)

JamesEviews
Posts: 4
Joined: Mon Nov 01, 2010 2:53 am

Re: Unrestricted Bekk Garch Model (with overlapping volatility)

Postby JamesEviews » Wed Nov 24, 2010 11:56 pm

Thanks, Trubador - for your kindness to take time for steering me in the right direction. Much appreciated.
James Johnson


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