Estimating a MGARCH BEKK Model
Posted: Wed Oct 17, 2018 7:27 am
Hello,
Does anyone have a code for me to estimate a trivariate MGARCH BEKK Model?
EViews does have an add in for a diagonal BEKK Model, but I need to estimate the full model for three variables.
Thanks.
Does anyone have a code for me to estimate a trivariate MGARCH BEKK Model?
EViews does have an add in for a diagonal BEKK Model, but I need to estimate the full model for three variables.
Thanks.