Check the relation non-linear by the model GACH-BEKK
Posted: Tue Apr 07, 2015 11:07 pm
I need to check the existence of a nonlinear relationship between variables dlaisuat dlncpi dlngdp dlnm2 to dlntygia. I was the user manual model GARCH-BEKK . However I don't know wait code in model GARCH-BEKK. My model GARCH optimum is GARCH(1,1) and equation forecast is :
Rt = 0.934541 Rt-1 - 0.759252 et-1 + et
Ht = 3.14E-08 + 0.474926 Ht-1 + 1.258632 e^2(t-1)
Which in : Et = dlntygia in (t) year
Ht = Variance
This result is very important for my dissertation could anybody please take look at the code or give me some suggestions about how to i can do it. The data are attached. Thank you very much.
Rt = 0.934541 Rt-1 - 0.759252 et-1 + et
Ht = 3.14E-08 + 0.474926 Ht-1 + 1.258632 e^2(t-1)
Which in : Et = dlntygia in (t) year
Ht = Variance
This result is very important for my dissertation could anybody please take look at the code or give me some suggestions about how to i can do it. The data are attached. Thank you very much.