Hi Tom,
Sorry to bother you again, but did you get a chance to look at the issue? I really need some help setting up this vector of initial values, would be great if you could give an example of how to code it.
Many thanks in advance!
Best,
Myrthe
Search found 4 matches
- Thu Apr 13, 2017 3:14 am
- Forum: Help With Programming
- Topic: GARCH-BEKK with initial values vector
- Replies: 3
- Views: 9485
- Tue Apr 11, 2017 1:59 am
- Forum: Help With Programming
- Topic: GARCH-BEKK with initial values vector
- Replies: 3
- Views: 9485
Re: GARCH-BEKK with initial values vector
My co-authors and I want to investigate volatility spillovers on different type of data than stock returns. I know it's not the standard way multivariate GARCH models are used, but that's one of the novelties of our paper so I'm certain I want to do this, I really hope you can help. As changing the ...
- Mon Apr 10, 2017 4:57 am
- Forum: Help With Programming
- Topic: GARCH-BEKK with initial values vector
- Replies: 3
- Views: 9485
GARCH-BEKK with initial values vector
Hi, I would like to estimate a GARCH BEKK without exogenous regressors and use those coefficient estimates as input for another GARCH BEKK estimation with exogenous regressors. I saw that there's an option 'initial', but I am struggling with the way to input previously estimated coefficients. I used...
- Sat Jul 20, 2013 3:34 pm
- Forum: ARCH and GARCH Models
- Topic: Convergence problem MGARCH-BEKK model
- Replies: 1
- Views: 5840
Convergence problem MGARCH-BEKK model
Hi Tom, I am currently using a multivariate GARCH BEKK Model to estimate volatility spillovers between tweets and stock market returns. If I estimate a bivariate GARCH model I get good results. However, I would like to estimate the model with more than two variables, at least more than 5. If I use 5...