Wald test garch bekk
Posted: Sun Mar 26, 2017 3:22 pm
Can anyone help me with This?
Consider data from the equity, bond and CDS markets. Use
Use a GARCH-BEKK model (3 markets therefore A and B are 3x3 matrices and the model has 24 parameters).
Refer to slide 13 in the lecture notes: To test the hypothesis that variance in series 2 causes variance in series 1 you need to test the hypothesis that α21=β21=0.
Complete a Wald coefficient test to complete in Eviews (Note: due to the diagonal restriction need to program the model manually to test using the logl function.)
Consider data from the equity, bond and CDS markets. Use
Use a GARCH-BEKK model (3 markets therefore A and B are 3x3 matrices and the model has 24 parameters).
Refer to slide 13 in the lecture notes: To test the hypothesis that variance in series 2 causes variance in series 1 you need to test the hypothesis that α21=β21=0.
Complete a Wald coefficient test to complete in Eviews (Note: due to the diagonal restriction need to program the model manually to test using the logl function.)