Autocorrelation test in GARCH BEKK Model

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Zankawa
Posts: 65
Joined: Mon Jun 15, 2015 2:23 pm

Autocorrelation test in GARCH BEKK Model

Unread post by Zankawa »

Hello,
I have estimated a GARCH BEKK model and I want to test the model for autocorrelation using the Ljung-Box Q-statistic. Other papers have used this test for their BEKK model, but I am not sure how to do that in RATS and I want to ask if you can help me on how to test the model for serial correlation using the Q-statistic.
Thank you

Muta
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Autocorrelation test in GARCH BEKK Model

Unread post by TomDoan »

Isn't that covered in the User's Guide Section 9.4.6 Multivariate GARCH models, Diagnostics? There's nothing special about it being a BEKK.
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