Code for Unrestricted BEKK

[curiousresearcher]

Hi,

Please share the code for unrestricted BEKK as used in this research paper - https://www.sciencedirect.com/science/a ... 2318308237

[TomDoan]

That paper is behind a paywall, but what is an "unrestricted" BEKK? A standard BEKK (MV=BEKK on the GARCH instruction) is unrestricted; TBEKK and DBEKK are restricted forms.

You might want to read the article from the April 2019 newsletter:

Spillover/Causality-in-Variance Tests

In BEKK models the "spillover" is sometimes just an artifact of how BEKK handles the covariances.

[curiousresearcher]

Hello Tom,

When i am using the normal BEKK command as suggested, the results are showing no spillover at all between the cryptocurrencies.

But this paper is showing bi-directional spillover among the

The data i am using matches with that of the paper. So it seems the problem relates to the code used

I am also attaching the data for bitcoin and ether for your reference here used in the paper.

Will appreciate if i can get the code which gets me the result in this paper.

Thanks a lot in advance

* code used is

garch(p=1, q=1,mv=bekk,robusterrors,stdresids=rstd) / BTC ETH

[TomDoan]

Do you actually have the data that they used, or do you have what you think is the same data (based upon their description)?

[curiousresearcher]

Hi,

I have the data they have used as i have matched by descriptive statistics - mean/median/no of obs. etc with their summary stats in the paper.