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trivariate garch estimation

Posted: Fri Nov 12, 2010 11:45 pm
by vxgo
hi everyone,
basically I estimated two steps trivariate VECM/VAR and BEKK GARCH. I estimated the VAR first, and then taking the residuals, and using them as inputs for trivariate BEKK

I modified the diagonal BEKK code in E-views to make it full BEKK

running the code though I keep getting the missing logl values error
I dont know whats wrong with my code

Pleas take a look and help

thank you

Re: trivariate garch estimation

Posted: Sun Nov 14, 2010 9:46 am
by vxgo
problem solved
some typos I made when modifying the program

should have checked before posting
apologies

thank you