Greetings,
I am interested in computing the interactions of the parameter estimates from a multivariate GARCH model using an asymmetric BEK variance structure. How can I compute the nonlinear combinations along with standard errors, significance levels, etc.?
Thanks
Search found 2 matches
- Mon Apr 09, 2012 9:42 am
- Forum: ARCH and GARCH Models
- Topic: Nonlinear combinations of BEK parameters
- Replies: 1
- Views: 4560
- Fri Nov 18, 2011 2:34 pm
- Forum: ARCH and GARCH Models
- Topic: Multivariate GARCH causality testing
- Replies: 1
- Views: 7003
Multivariate GARCH causality testing
Dear Tom, I am interested in conducting variance causality tests from a multivariate GARCH (BEKK) model. Hafner and Herwartz (2004) propose a Wald statistic in their working paper, "Testing for Causality in Variance Using Multivariate GARCH Models." How can this be implemented in RATS? Is ...