The RATS Software Forum

Hello,
I have estimated a GARCH BEKK model and I want to test the model for autocorrelation using the Ljung-Box Q-statistic. Other papers have used this test for their BEKK model, but I am not sure how to do that in RATS and I want to ask if you can help me on how to test the model for serial correlation using the Q-statistic.
Thank you

Muta

Isn't that covered in the User's Guide Section 9.4.6 Multivariate GARCH models, Diagnostics? There's nothing special about it being a BEKK.