Asymmetry issue

[FaeK]

Hi all,

I would to estimate bivariate BEKK with asymmetry. As far as I know, the asymmetry is of Glosten et al (1993) type. So it only picks up negative shocks (for both variables). How can I formulate the asymmetry to pick pick up a positive shock for one variable and negative shock for other. is there any way round in RATS?


Kinds
Faek

[TomDoan]

Hi all,

I would to estimate bivariate BEKK with asymmetry. As far as I know, the asymmetry is of Glosten et al (1993) type. So it only picks up negative shocks (for both variables). How can I formulate the asymmetry to pick pick up a positive shock for one variable and negative shock for other. is there any way round in RATS?

Kinds
Faek

That's on the wish list for the next release of RATS. The only way to fake that with the GARCH instruction is to flip the sign of the input "Y" series where you want the positive shock to increase variance.

[FaeK]

thanks very much