Scalar BEKK

[phillee]

Hi,

I'm new to RATS so apologies in advance if this is a rookie question.
I'm trying to estimate a Scalar BEKK model, but can't seem to find anything about this in User's guide, GARCH workbook or any forums. However, I have been able to find this: http://lipas.uwasa.fi/~sjp/Teaching/mvs ... /mvsc2.pdf - where the example on page 40 with comparisons of different MGARCH models is made with garchmv.prg and then modifications. I guess this is just the garchmv.rpf file now. My problem is that I'm not good in explicit coding in RATS so far so don't really now how to proceed with this. Can anyone help?

Thanks in advance!!

[TomDoan]

There isn't really much BEKK about that model. It's really a DVECH with scalar matrices. It's also equivalent to a Cermeno-Grier "panel GARCH" model, but with restrictions to make the off-diagonal and diagonal coefficients the same. In the program there, you would just need

nonlin(parmset=garchparms) vcs delta lambda gamma rho delta=lambda gamma=rho

to constrain the coefficients.