The Mean Model of Triangular BEKK

[Zankawa]

Yes Tom. I have tried the regular BEKK model as well and again, the model did not pass the @MVARCHTEST test but it passes the autocorrelation test. Do you think I can still use the model?

[TomDoan]

That depends upon how badly it fails the ARCH test. As I mentioned earlier, two of your series have somewhat odd properties.