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- Sun May 10, 2015 4:12 am
- Forum: ARCH and GARCH Models
- Topic: Bekk Interpretation issue
- Replies: 7
- Views: 11726
Re: Bekk Interpretation issue
I estimated an trivariate asymmetric VAR(1)-GARCH-BEKK: MV-GARCH, BEKK - Estimation by BFGS Convergence in 294 Iterations. Final criterion was 0.0000000 <= 0.0000100 With Heteroscedasticity/Misspecification Adjusted Standard Errors Usable Observations 434 Log Likelihood -2750.2036 Variable Coeff Std...