trivariate garch estimation
Posted: Fri Nov 12, 2010 11:45 pm
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
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