Search found 4 matches

by myrthevandieijen
Thu Apr 13, 2017 3:14 am
Forum: Help With Programming
Topic: GARCH-BEKK with initial values vector
Replies: 3
Views: 9489

Re: GARCH-BEKK with initial values vector

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
by myrthevandieijen
Tue Apr 11, 2017 1:59 am
Forum: Help With Programming
Topic: GARCH-BEKK with initial values vector
Replies: 3
Views: 9489

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 ...
by myrthevandieijen
Mon Apr 10, 2017 4:57 am
Forum: Help With Programming
Topic: GARCH-BEKK with initial values vector
Replies: 3
Views: 9489

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...
by myrthevandieijen
Sat Jul 20, 2013 3:34 pm
Forum: ARCH and GARCH Models
Topic: Convergence problem MGARCH-BEKK model
Replies: 1
Views: 5841

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...