Portmanteau Test using Standard Residuals for Unrestricted BEKK
Posted: Sun May 31, 2020 6:29 am
Hello
I am using a unrestricted BEKK to assess volatility spillovers between CDS and equity returns - using the attached code. At the end I want to test whether there is evidence of autocorrelation in the standardised residuals. However in the bv-garch output I do not have this option. Can someone let me know how to conduct this test following the BEKK estimation? Thank you
I am using a unrestricted BEKK to assess volatility spillovers between CDS and equity returns - using the attached code. At the end I want to test whether there is evidence of autocorrelation in the standardised residuals. However in the bv-garch output I do not have this option. Can someone let me know how to conduct this test following the BEKK estimation? Thank you