BEKK GARCH

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rahma
Posts: 6
Joined: Mon Mar 18, 2013 8:34 am

BEKK GARCH

Postby rahma » Tue Mar 19, 2013 3:56 am

Hello :)

I want to check the volatility spillover between two variables ( Corn and Wheat), i want to estimate the BEKK GARCH, how can i estimate it on eviews ?

Thanks :)
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13584
Joined: Tue Sep 16, 2008 5:38 pm

Re: BEKK GARCH

Postby EViews Gareth » Tue Mar 19, 2013 9:39 am

Diagonal BEKK is a built in method for system estimation. You're best off looking at the system section of User Guide II.
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rahma
Posts: 6
Joined: Mon Mar 18, 2013 8:34 am

Re: BEKK GARCH

Postby rahma » Thu Mar 21, 2013 3:35 am

Thanks for your reply :)
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