BIVARIATE BEKK GARCH

[myousefi1360]

Dear Tom
I am trying to estimate a bivariate BEKK GARCH (1, 1) model by 283 weekly data, but I have faced bit of trouble with forecasting procedure. As you know, BEKK GARCH model with two variables follow the below basic model
h_t=C^' C+B^' h_(t-1) B+A^' e_(t-1) e_(t-1)^' A
Where, C ,A and B are 2*2 matrix of intercept element ARCH and GARCH effect accordingly. I used the below command for run Bivariate BEKK GARCH (1, 1) (a and b are variables):
GARCH (P=1, Q=1, MV=BEKK, VCV) / A b
By running the above command result was appeared that are attached in mail. While the result just shows the element of C ,A and B matrix. However there is necessity to estimate all below parameters of below equations and their level of significant for robust and reliable research.
h_(22,t)=c_12^2+c_22^2+b_12^2 h_(11,t-1)+2b_12 b_22 h_(12,t-1)+b_22^2 h_(22,t-1)+a_12^2 e_(1,t-1)^2+2a_12 a_22 e_(1,t-1) e_(2,t-1)+a_22^2 e_(2,t-1)^2
h_(11,t)=c_11^2+b_11^2 h_(11,t-1)+2b_11 b_12 h_(12,t-1)+b_21^2 h_(22,t-1)+b_21^2 h_(22,t-1)
+2a_11 a_12 e_(1,t-1) e_(2,t-1)+a_21^2 e_(2,t)^2
The question is that how I can calculate and estimate each of parameters of H11 and H22 equations coefficient parameters (which include interaction/multiply of two matrix抯 elements) and their level of significant. By the other words what commands should I enter in RATS 6 to get these coefficients and their statistical significant.
Any advice would be great appreciation

[moderator]

Could you spell out exactly which terms you are not seeing in the output? It's a bit difficult to read the expressions you've written out but, off hand, I don't see any terms that aren't being estimated in the output you provided.

Regards,
Tom Maycock

[TomDoan]

The @MVGARCHFORE procedure converts the BEKK model into the equivalent VECH parameterization as part of its calculations. We would recommend that you use it, rather than trying to compute the forecasts yourself.

[myousefi1360]

Dear Tom
At first, i am thankful of your prompt reply to my mail in forum. i used your advice but it is not some thing that i am trying to estimate, for more clear details in my request i put it word file of attached.

[myousefi1360]

Dear Tom
I followed your suggestion to run @garchmvfore program example file for BEKK GARCH but I faced two new errors in my commands output. MAY i ask you please check my output and input file which are attached and guide me how to overcome this errors to get equations estimation. In advance, I am thankful of your attention and concern.

sinserely yours
maosud
Errors :

## SX11. Identifier AF is Not Recognizable. Incorrect Option Field or Parameter Order?
>>>> dim af(<<<<
## SX11. Identifier BF is Not Recognizable. Incorrect Option Field or Parameter Order?
>>>> ewise bf(<<<<

[moderator]

You don't want to try to paste the contents of the procedure into your main program. Instead, either just call the procedure (in which case RATS will search for the matching .SRC file), or use an explicit SOURCE instruction to read in the procedure code from the .SRC file.

For example:

...
garch(p=1,q=1,mv=bekk,hmatrices=hh,rvector=rr,piters=10,pmeth=simplex,iters=200) / isr ior

source mvgarchfore.src
@MVGARCHFore(mv=bekk,steps=10) hh rr
set hfore11 284 293 = hh(t)(1,1)
(etc.)

print / hfore11

Note that you may need to use a path on the SOURCE instruction if the .SRC file is not in the default directory.

Please see Sections 1.10 and 16.2.1 of the RATS User's Guide for instructions on using RATS procedures.

Regards,
Tom Maycock

[myousefi1360]

Dear Tom

as you said in the previous mail i run and followed your commands, how ever i could not find what should i write for the SO ON part. but as i entered the command of print in my running part i just get a forecast of 10 steps ahead in my model specification. there is two main question
1) what should type in as the follow of procedure
2) as attached in the file of Dear Tom.docx in my second mail, the aim of my methodology is to obtain the coefficients , but this procedure just help me to forecast steps ahead, what can i do for coefficients of Variation equation in both variables? How can i estimate coefficients by RATS 6.2?
In the last i am thankful of your suggestion to read some parts of user's guide It was so helpful to figure out my mistakes.