How to do the BEKK Garch estimation in Eviews?
Posted: Fri Jun 14, 2013 9:09 am
Hi,
I am new to Eviews and I want to use the BEKK GARCH model to determine the volatility spillovers effect for my Masters dissertation?
I am aware that in Eviews, it has a build in function for diagonal BEKK GARCH model, but I would also need the other components in the matrix,not just diagonal in order to determine the spillovers effect.
Can anyone recommend me how should I do this?
Thank you very much.
Rath
I am new to Eviews and I want to use the BEKK GARCH model to determine the volatility spillovers effect for my Masters dissertation?
I am aware that in Eviews, it has a build in function for diagonal BEKK GARCH model, but I would also need the other components in the matrix,not just diagonal in order to determine the spillovers effect.
Can anyone recommend me how should I do this?
Thank you very much.
Rath