The RATS Software Forum

Hi Tom,
I have estimated BEKK and Triangular BEKK models for a study and I have obtained some results. However, I need to find the notes that explain these models in detail so that I can write the methodology of the study with the help of the notes. I have checked through the RATS user's guide but could not find detail explanation of both the BEKK and the Triangular BEKK models. Do you know if there is a document where I can find such information?
Thank you

I'm not sure what you mean by a "detailed explanation". What did you need besides the formulas for the evolution of the covariance matrix, which are in the User's Guide?

Dear Tom,
Thank you for the reply. I am looking for the formula that expresses the triangular BEKK model. The formula for the full BEKK model is in the user's guide as you said, but the triangular BEKK model is not expressed in a formula form in the user's guide.
Thank you

Yes, it does. The TBEKK is the same formula, but with the A' and B' constrained to be lower triangular.