I am interested in examining volatility spillovers among 3 stock price series, while accounting for asymmetric volatility. When I run each of the univariate series separately, the asymmetric coefficient is negative and significant (as expected). But when I try to run the multivariate estimation, the asymmetric coefficients are positive (and significant). I'm thinking I must be setting up the model incorrectly. Here is the code that I am using:
GARCH(P=1,Q=1,PMETHOD=SIMPLEX, PITERS=10,MV=CC,ROBUST,LAGS=5,VARIANCES=SPILLOVER,ASYMMETRIC, DISTRIB=T) / R1E R2E R3E
Does this look correct and does anyone have an idea why this might be happening?