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
Lower triangle BV Bekk-Garch
Moderators: EViews Gareth, EViews Moderator, EViews Jason, EViews Matt
Lower triangle BV Bekk-Garch
- Attachments
-
- vspillover.wf1
- (16.34 KiB) Downloaded 522 times
-
- BV Garch in mean_Lowertriangle.docx
- (22.24 KiB) Downloaded 645 times
Who is online
Users browsing this forum: No registered users and 2 guests
