VAR BEKK AND DCC

Discussions of ARCH, GARCH, and related models

VAR BEKK AND DCC

Unread postby jimm306 » Wed Dec 01, 2021 2:58 am

Hi folks,

1) The alternating pattern for the signs in the main diagonal of the matrix A of my 4 variate asymmetric BEKK GARCH model imply something for the validity of the chosen model?

2) Is there a routine in RATS for estimating a DCC GARCH with block matrices?
https://www.sciencedirect.com/science/a ... 7611000406

Thanks
jimm306
 
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