The RATS Software Forum

Hi Tom Two more questions if I may. The matrices displayed by : disp %%vech_a and disp %%vech_a. Are these the ones that were meant to be reported in the paper (and were but are wrong??) If so then what are the A(1,1) A(2,1) etc.? and how do you interpret the H matrix in VECH? Also where are the sig...

Completely agree with you on the error. It’s a triangular matrix and that term does not even exist. Also, thank you for providing the correct script. This has raised a few questions. What is the need for converting these BEKK estimates to VECH? Why can't we just take the BEKK coefficients and put th...

Hi Tom, Many thanks for your help and support. I'm trying to execute a bivariate model of (oil/equity returns) Volatility spillover. I've got a paper I'm trying to reproduce, just to ensure that my estimation methods for an up to date dataset mathces the author's; I'm repeating the analysis with his...