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- Sat May 11, 2013 11:19 am
- Forum: ARCH and GARCH Models
- Topic: Bi-variate BEKK, contagion effect dummy
- Replies: 4
- Views: 7708
Bi-variate BEKK, contagion effect dummy
Dear Tom, I am estimating a bivariate BEKK-model which includes a dummy variable in the VCV of coefficients to check any shift contagion between two markets. More specifically, I would like to change a21 => (a21+a21d*D) and b21=>(b21+b21d*D), for example. Is there any way to put those addational res...