Page 1 of 1

VAR BEKK AND DCC

Unread postPosted: Wed Dec 01, 2021 2:58 am
by jimm306
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