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Hello all,
I am doing a dissertation about volatility spillover effects between several Asian stock markets. Here is the workfile in the attachment.
I am trying to use the multivariate GARCH model to test the volatility spillover and I have several questions as follow:
1. In Eviews, it only has diagonal BEKK GARCH model in the estimate. Can I use this model to test the volatility spillover? And the ARCH coefficient restriction I choose Indefinite Matrix, am I right?
2. The sys01 in attachment shows the result of BEKK GARCH model which I do it for the stock index returns in my paper. How can I read the result?
3, Also the same question for the CCC model. Can I use CCC model to test the volatility spillover? What should I choose for coefficient restriction? Scalar?

Thanks for your reading. Hope for the feedback soon.



@STACKINST

@INST

CSI = C(1)

STI = C(2)

SET = C(3)

JCI = C(4)

FBMKLCI = C(5)

PCOMP = C(6)

anyone here？

http://forums.eviews.com/viewtopic.php? ... 298#p26964
http://forums.eviews.com/viewtopic.php? ... 298#p28206

Hi,
I have read all over the forum about the diagonal BEKK results interpretation but I am still confused .
I underestand that if I have a bivariate diagonal BEKK estimation including asset i and j, then matrix A represents the effect of shock in asset i at time t-1 on the subsequent co-volatility between assets i and j at time t. However, what if we estimate a multivariage diagonal BEKK?
For example, I am including 10 markets (n=1...10) and I have the coefficients for A(1,1), ...A(10,10), and also B(1,1)...B(10,10), can some one please help me to interprete these results about having more than two asset in the BEKK model?
Moreover, I am very confused about the variance equation, I cant figure out which are the ARCH and GARCH estimations in variance equation.... is there any source to have a clear interpretation about these results from Eviews or is there any one that can kindly help me about it?

I attached my results,

Thanks
Shwan