Residuals and Variance of GARCH-BEKK Model
Posted: Tue Nov 21, 2017 6:03 pm
Dear Sir,
I have estimated a GARCH-BEKK Model in the RATS software and I am trying to obtain the residuals and variance series of the model. When setting up the BEKK model, there are options that say "residuals to" and "variance to" which I thought could be used to obtain those series. I am so far unable to do so because I am not sure how these options can be used to obtain those series. I am therefore, asking if you could assist me in obtaining the residual and variance series of the BEKK model either through the options named above or by any other means.
Thank you
I have estimated a GARCH-BEKK Model in the RATS software and I am trying to obtain the residuals and variance series of the model. When setting up the BEKK model, there are options that say "residuals to" and "variance to" which I thought could be used to obtain those series. I am so far unable to do so because I am not sure how these options can be used to obtain those series. I am therefore, asking if you could assist me in obtaining the residual and variance series of the BEKK model either through the options named above or by any other means.
Thank you