The RATS Software Forum

Below I attached the 3 month futures crude oil and wheat prices. In particular I'm examining the volatility spillover effects between them. In the Garch-Bekk run I used the logs of this data. Let me know what you think Tom, and once again thanks for the support!

Thanks Tom, you were right that with the simplex method I got more normal signs. I'm also a bit surprised that A matrix diagonal elements are way larger than the B ones, since I noticed this is not the case in similar previous papers examining those effect between crude oil prices and agricultural c...

Hello I'm somewhat of a newbie dealing with the multivariate garch structures and wander how to interpret the BEKK coefficients signs. What bothers me in particularly is the minus signs infront of the A(11) and A(22) terms and how exactly are those parameters interpreted. Thank you in advance! Here ...