MRS-BEKK
Posted: Tue Sep 10, 2013 3:04 am
by prico
Hi, I have estimated a bivariate and asymmetric VAR-GARCH model with eviews but now I need to estimate a Markov regime Switching bivariate GARCH. I don't know how to program this new model. Could somebody help me?
Thanks a lot. Paz
Re: MRS-BEKK
Posted: Tue Sep 24, 2013 7:50 pm
by jhwang
Hi! I need some help to estimate bivariate garch bekk model with off-diagonals.
I tried to run the program, but I got only diagonal terms.
Based on your post, you already estimated a bivariate and asymmetric VAR-GARCH model with eviews.
Can you help me with your program?
Thank you in advance for your help.
Jae