Multivariate GARCH A(1,2) and B(1,2)

[vbhargava]

Choosing variables as a system and picking BEKK or VECH with arch 1 and garch, I get M11, M12, M22, A11, A22, B11, B22.
How do we estimate A12, A21, B12, B21

[trubador]

You should restrict the coefficients as "Full rank" or "Indefinite matrix" instead of "Diagonal" in the "ARCH coefficient restrictions" in the ARCH dialog box.

[vbhargava]

Actually, when I pick BEKK in model type, dont get option to do "indefinite matrix". I guess I need regular BEKK in model type and I dont know how to get it. I am trying to look for spillover effects and need all 11 parameters including a12 and a21, also b12 and b21. Is there anyway I can do that.

[trubador]

EViews does not estimate the general form of BEKK in which A and B are unrestricted. However, you can try diagonal VECH for a slightly more general version.