Financial Interpretation of insignificant a12, significant b

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humyra
Posts: 30
Joined: Fri Jun 02, 2017 4:26 am

Financial Interpretation of insignificant a12, significant b

Unread post by humyra »

In my asymmetric BEKK GARCH model, if a12 is insignificant and b12 is significant, what could be the financial interpretation? Volatility persistence without spillovers?
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TomDoan
Posts: 7825
Joined: Wed Nov 01, 2006 4:36 pm

Re: Financial Interpretation of insignificant a12, significa

Unread post by TomDoan »

Not really. If B12 is significant, then residuals from 1 affect the variance of 2 with a lag.

BEKK coefficients aren't designed to be interpreted individually.
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humyra
Posts: 30
Joined: Fri Jun 02, 2017 4:26 am

Re: Financial Interpretation of insignificant a12, significa

Unread post by humyra »

It's a tough model to discuss.
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