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Multivariate GARCH A(1,2) and B(1,2)
Posted: Fri Jun 12, 2009 10:10 am
by 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
Re: Multivariate GARCH A(1,2) and B(1,2)
Posted: Sun Jun 14, 2009 9:26 am
by 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.
Re: Multivariate GARCH A(1,2) and B(1,2)
Posted: Tue Jun 23, 2009 8:59 am
by 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.
Re: Multivariate GARCH A(1,2) and B(1,2)
Posted: Tue Jun 23, 2009 9:44 am
by 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.