Unrestricted BEKK Multivariate GARCH on Eviews 8

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simlgl
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Joined: Sat Aug 10, 2013 2:56 am

Unrestricted BEKK Multivariate GARCH on Eviews 8

Postby simlgl » Fri Aug 16, 2013 7:07 am

Hi all,

I am trying to run a program for the full BEKK GARCH in Eviews 8 but I have no idea how to program it having programmed anything on Eviews before. Does anyone have a code that can help me do this? I am trying to find volatility spillovers between 4 commodities and 3 stock indices and I understand that a diagonal BEKK model cannot do this well.

Please help :)

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