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- Fri Jun 28, 2019 7:27 am
- Forum: ARCH and GARCH Models
- Topic: Variance-convariance matrix in a VAR-BEKK-GARCH model
- Replies: 1
- Views: 5352
Variance-convariance matrix in a VAR-BEKK-GARCH model
Hello. I'm new in the forum, thanks in advance for your help. If the question shoud't be here, im so sorry. I am estimating a trivariate VAR(4)-BEKK-GARCH(1,1) model between three financial series to test volatility spillovers and persistence of spillovers from one series to another. I want to obtai...