Page 1 of 1
MGARCH-BEKK estimation without diagonal restriction
Posted: Thu Oct 23, 2008 1:31 am
by prashant_m_joshi
Can anyone have MGARCH-BEKK estimation programme code without diagonal restriction. ! thanks
Re: MGARCH-BEKK estimation without diagonal restriction
Posted: Mon Feb 23, 2009 1:36 am
by assoum08
I have it in rats if you still want it let me know
Re: MGARCH-BEKK estimation without diagonal restriction
Posted: Fri May 01, 2009 1:52 pm
by fraN
Hi,
I am using several multivariate GARCH models. In order to check the robustness of my results I would like also use the BEKK model.
So I was wondering whether you could send me the Rats code in order to estimate a multvariate GARCH-BEKK without restrictions along the diagonal.
Thanks,
Francesco