The RATS Software Forum

All I really need to know is if cross-regressors (1 simple dummy) are parameterized in the same way as you would a BEKK-asymmetric (tgarch) specification... Or if it is just "added" onto each equation, hence it would be just a hadamard product of a 2x2 parameter matrix and a 2x2 dummy matr...

Thanks for your reply.

To better understand this, given the dummy gives 3 parameter estimates for the output in rats. How would I add these coefficients to the long-run conditional covariance (Constant) terms to see the change? Would it be similar to the C'C matrix? i.e. d1sq, D1D2, D2sq + D3sq?

How does xreg of a dummy variable enter into the bekk model?

Considering a 2 asset case, is it a hadamard product of a 2x2 parameter matrix and 2x2 dummy matrix. Or is it more complicated than this? i.e. bekk parameterization on the dummy?

Thanks