Variance-convariance matrix in a VAR-BEKK-GARCH model

[betaedu27]

Hello.

I'm new in the forum, thanks in advance for your help. If the question shoud't be here, im so sorry.

I am estimating a trivariate VAR(4)-BEKK-GARCH(1,1) model between three financial series to test volatility spillovers and persistence of spillovers from one series to another. I want to obtain the variance-convariance matrix of the parameters C, A, B y D. What code should I use?


Thanks,

[TomDoan]

What did you need that for? It's %XX (or you can display it by adding the VCV option to GARCH), but that's about a 60 x 60 matrix. If you're trying to do tests, use the instructions for testing (Chapter 3 in the User's Guide).