Lower triangle BV Bekk-Garch

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nicktz
Posts: 18
Joined: Thu Mar 28, 2013 1:41 am

Lower triangle BV Bekk-Garch

Postby nicktz » Tue May 28, 2013 1:27 pm

Hi guys!

I am trying to fit a lower triangular form to the Bivariate Bekk-Garch in mean model. I attach the coding and the data. Please help..
In it I try to make the Alpha and Beta matrices lower triangular to limit the direction of volatility spillover from y2-->y1.
Please could you check my code if its right (or have any suggestions) and help me spot a mistake as it is not solving - it says "missing values in Logl".

I am struggling to find the problem! Thanks a lot!!

N
Attachments
vspillover.wf1
(16.34 KiB) Downloaded 522 times
BV Garch in mean_Lowertriangle.docx
(22.24 KiB) Downloaded 645 times

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