The RATS Software Forum

Hi Tom,

Hope you are doing well!

I have a query.

In most of the BEKK-GARCH papers, it has been observed that the magnitude of volatility spillover is not discussed much (i.e. +2.45 or -2.45 coeffecients of cross arch or garch effect). Generally its only mentioned VS is significant or non significant.

What is the rationale behind this ?

That's pretty much the same explanation as in the paragraph beginning with "Another common question..." in the discussion of the BEKK model in the help:

https://estima.com/ratshelp/garchmvrpf. ... utput_BEKK

The coefficients are sensitive to the scales of the variables and the magnitudes of their variances.

TomDoan wrote:That's pretty much the same explanation as in the paragraph beginning with "Another common question..." in the discussion of the BEKK model in the help:

https://estima.com/ratshelp/garchmvrpf. ... utput_BEKK

The coefficients are sensitive to the scales of the variables and the magnitudes of their variances.

Thank you.