var-bekk restriction ?
Posted: 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? ... ?
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? ... ?