volatility spillover

[ibrahim]

Hi,
I gotta estimate a volatility spillover model between spot and futures markets. But in a system equation I haven't interpreted diagonal bekk or vec results. What should I include as a variance regressor in the model to explain volatility spillover from one market to another? It is really urgent for me? Please help!

Thanks,

[ibrahim]

by the way, I already applied bivariate and trivariate garch models via codes posted on the forum. But I think that they are estimating just own volatility. There is no such a spillover effect coefficient.

[trubador]

http://forums.eviews.com/viewtopic.php? ... 298#p26964