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Financial Interpretation of insignificant a12, significant b
Posted: Sun Apr 01, 2018 11:30 pm
by humyra
In my asymmetric BEKK GARCH model, if a12 is insignificant and b12 is significant, what could be the financial interpretation? Volatility persistence without spillovers?
Re: Financial Interpretation of insignificant a12, significa
Posted: Mon Apr 02, 2018 9:01 am
by TomDoan
Not really. If B12 is significant, then residuals from 1 affect the variance of 2 with a lag.
BEKK coefficients aren't designed to be interpreted individually.
Re: Financial Interpretation of insignificant a12, significa
Posted: Mon Apr 02, 2018 9:22 am
by humyra
It's a tough model to discuss.