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- Wed Dec 11, 2019 2:15 pm
- Forum: ARCH and GARCH Models
- Topic: Convergence in Asymmetric VECM-MGARCH-BEKK Model
- Replies: 1
- Views: 6098
Convergence in Asymmetric VECM-MGARCH-BEKK Model
Hi I'm attempting to fit a market data to estimate asymmetry and transmission of volatilities between 8 food markets with 160 monthly data points. The challenge however is that when I estimate the Asymmetric VECM-MGARCH-BEKK model I don't get convergence but when I run the model without asymmetry th...