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Re: The Mean Model of Triangular BEKK

Posted: Mon Dec 11, 2017 4:45 am
by 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?

Re: The Mean Model of Triangular BEKK

Posted: Mon Dec 11, 2017 7:36 am
by TomDoan
That depends upon how badly it fails the ARCH test. As I mentioned earlier, two of your series have somewhat odd properties.