Search found 2 matches
- Wed Jul 24, 2019 2:26 pm
- Forum: ARCH and GARCH Models
- Topic: VAR(1)-BEKK-GARCH(1,1) Model
- Replies: 47
- Views: 292255
Re: VAR(1)-BEKK-GARCH(1,1) Model
hI Tom, I am using bivariate BEKK-GARCH Model to check volatility spillover across commodity and stock market. I am running the model separately for each commodity with stock index. Can you please guide me on what are the tests i am supposed to run before running the BEKK model also how to run the ...
- Fri Jul 19, 2019 1:30 am
- Forum: ARCH and GARCH Models
- Topic: VAR(1)-BEKK-GARCH(1,1) Model
- Replies: 47
- Views: 292255
Re: VAR(1)-BEKK-GARCH(1,1) Model
hI Tom, I am using bivariate BEKK-GARCH Model to check volatility spillover across commodity and stock market. I am running the model separately for each commodity with stock index. Can you please guide me on what are the tests i am supposed to run before running the BEKK model also how to run the d...