Unrestricted BEKK?

[msftrinity11]

Hi,

I'm trying to develop a multivariate VAR-GARCH model with BEKK representation. Eviews 7 only has a restricted version. Is there a way to program this? I have five variables: dgrk, dire, dpor, dspn, and dger. Can someone post the code for this if this is possible? I would need the VAR equation as well in the code, however, if its easier to code a system then I have system saved already of my VAR model (I can just insert the name of it in the coding if you specify where).

I'm not familiar with programming in Eviews and any help would be very much appreciated. This is for my dissertation. My goal is to compare the covariances in the BEKK model to determine relationships in volatility across certain assets. Right now I am only generating variances due to the diagonal framework.

Thanks!