var-bekk restriction ?

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djboy
Posts: 7
Joined: Sat Jul 25, 2015 1:47 am

var-bekk restriction ?

Postby djboy » Sat Dec 19, 2015 10:12 am

Hello, i would like to estimate a VAR-GARCH model but i need some help
Step by step, I do:

1) a VAR system with my variables
2) proc > make a system ordered by variable > estimate > garch BEKK model
now i don't know which of restriction must choose?
scalar? diagonal? ... ?
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djboy
Posts: 7
Joined: Sat Jul 25, 2015 1:47 am

Re: var-bekk restriction ?

Postby djboy » Wed Dec 23, 2015 10:25 am

:( :( :( :( :( :(
can anybody help me?
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