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Hello,

I need to write m-garch capm codes through dbekk model.

My model is

y = mu + res -> y1 = y2*H(1,2)/H(2,2) + mu + res-->>

where

-->y1= portfolio return,
-->y2= market return,
-->h(1,2)= conditional covariance between market and portfolio,
-->h(2,2) = conditional variance of market portfolio

' res ~ N(0,H)

' H = omega*omega' + beta H#-1# beta' + alpha res#-1# res#-1#' alpha'

The codes for the below model is attached.

' y = mu + res -> y = H*lambda + mu + res
' res ~ N(0,H)

I need to transforn those codes for my model. But I need your help.

My Kindest Regards,