TomDoan wrote:If they provide the data, we could do that. However, DBEKK is included in the Martin-Hurn-Harris textbook examples (MHHP790.RPF), and the hedge ratio and portfolio analysis is the same regardless of the type of GARCH model---it's a function solely of the sequence of estimated covariance matrices.

Dear Tom,

I am quite confused about the difference between MVHSERIES vs HMATRICES. I am sharing data for two assets (calculating optimum hedge ratios/portfolio weights for 2 assets)

1) Data tab captures the price and returns data for A and B

2) Commands used tab captures the commands used for BEKK model and sub sequence variance covariance data

3) BEKK output tab shows BEKK results

4) Variance covariance output shows variance /covariance data used for calculating portfolio weights and hedge ratios.

My research question is to use the two returns data to find out volatility linkages and then calculate optimum portfolio weights and hedge ratios. The reference paper is

https://shura.shu.ac.uk/23035/3/Katsiam ... 8AM%29.pdf Please advice if i am doing it correctly and necessary changes in codes needed and should i use HMATRICES (if yes what should be the exact codes).