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Greetings,

I am interested in computing the interactions of the parameter estimates from a multivariate GARCH model using an asymmetric BEK variance structure. How can I compute the nonlinear combinations along with standard errors, significance levels, etc.?

Thanks

willb wrote:Greetings,

I am interested in computing the interactions of the parameter estimates from a multivariate GARCH model using an asymmetric BEK variance structure. How can I compute the nonlinear combinations along with standard errors, significance levels, etc.?

Thanks

You can use SUMMARIZE with a function of elements of %BETA.