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
Residuals and Variance of GARCH-BEKK Model
Re: Residuals and Variance of GARCH-BEKK Model
That's covered in the User's Guide.