Estimating a BEKK GARCH in Eviews 8
Posted: Sat Aug 10, 2013 3:27 am
Hi all,
I am trying to generate a multivariate GARCH Model for my dissertation preferably the full BEKK, as l aim on analyzing directional spillovers between 4 commodities and 3 equity indices.
On Eviews, only the diagonal BEKK is available, so l am not sure l can run with this model? And l am not sure what the properties are that constitute a 'positive-definite' matrix? Some coefficients on my variance equation are negative.
For the GARCH equation, am I correct in saying the A and B coefficients wold be 7 x 7 matrices? Also would l select M to be a 'full rank matrix'?
I would really appreciate some help as I am so far behind. I have attached my Eviews file for viewing
Thanks,
SIMLGL
I am trying to generate a multivariate GARCH Model for my dissertation preferably the full BEKK, as l aim on analyzing directional spillovers between 4 commodities and 3 equity indices.
On Eviews, only the diagonal BEKK is available, so l am not sure l can run with this model? And l am not sure what the properties are that constitute a 'positive-definite' matrix? Some coefficients on my variance equation are negative.
For the GARCH equation, am I correct in saying the A and B coefficients wold be 7 x 7 matrices? Also would l select M to be a 'full rank matrix'?
I would really appreciate some help as I am so far behind. I have attached my Eviews file for viewing
Thanks,
SIMLGL