Unrestricted BEKK Multivariate GARCH on Eviews 8
Posted: Fri Aug 16, 2013 7:07 am
Hi all,
I am trying to run a program for the full BEKK GARCH in Eviews 8 but I have no idea how to program it having programmed anything on Eviews before. Does anyone have a code that can help me do this? I am trying to find volatility spillovers between 4 commodities and 3 stock indices and I understand that a diagonal BEKK model cannot do this well.
Please help :)
I am trying to run a program for the full BEKK GARCH in Eviews 8 but I have no idea how to program it having programmed anything on Eviews before. Does anyone have a code that can help me do this? I am trying to find volatility spillovers between 4 commodities and 3 stock indices and I understand that a diagonal BEKK model cannot do this well.
Please help :)