Can anybody help me with MGARCH (full BEKK model)??

[bad4yourbones]

Hi all,

I need to build a multivariate GARCH model, full BEKK model to be exact, for my dissertation. As far as I read, in this forum, there are only CCC, DCC, diagonal BEKK, and scalar BEKK model threads. Can someone help me to build a full BEKK model program?? The built-in MGARCH model in EViews6 only helpful to estimate the conditional covariance of the series, but not the direction of spillover effects. In volatility spillover related literatures, finding the direction of the spillover effects seem to be the most important thing but I am so dissapointed because EViews doesn't have feature to estimate this (there are only diagonal VECH, CCC, and diagonal BEKK in the built-in menu). Hence, I really hope someone can help me with this problem.

Thank you!

[JKUpeter]

I have the same problem. Need to estimate a VECM-full BEKK Mgarch model. Unfortunately there exists only the possibility to do a diagonal BEKK in Eviews. Maybe someone has a code for estimating the full BEKK version. I highly appreciate every reply

[ibrahim]

I have the same problem too!

[trubador]

You can work on the example of Low Triangular BEKK (garch-in-mean)