Full-BEKK MGARCH
in [Matlab]
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From: Anar on 17 Apr 2010 15:11 Hello Fellows, I am trying to estimate Full-BEKK model in OxMetrix,but unfortunately it computes only restricted versions i.e. Scalar and diagonal.I was told that Matlab is capable to do this.Does anybody have a code for the 4 variable(3 or 2 is ok as well) MGARCH model. Thank you guys!
From: Lazaros Symeonidis on 27 Apr 2010 18:17 "Anar " <anar_tag(a)hotmail.com> wrote in message <hqd149$di9$1(a)fred.mathworks.com>... > Hello Fellows, > I am trying to estimate Full-BEKK model in OxMetrix,but unfortunately it computes only restricted versions i.e. Scalar and diagonal.I was told that Matlab is capable to do this.Does anybody have a code for the 4 variable(3 or 2 is ok as well) MGARCH model. > Thank you guys!
From: Lazaros Symeonidis on 27 Apr 2010 18:22 "Anar " <anar_tag(a)hotmail.com> wrote in message <hqd149$di9$1(a)fred.mathworks.com>... > Hello Fellows, > I am trying to estimate Full-BEKK model in OxMetrix,but unfortunately it computes only restricted versions i.e. Scalar and diagonal.I was told that Matlab is capable to do this.Does anybody have a code for the 4 variable(3 or 2 is ok as well) MGARCH model. > Thank you guys! Yes, actually there is a very good Matlab library by Kevin Sheppard. You can find it in the web page of the author through the following link: http://www.kevinsheppard.com/wiki/UCSD_GARCH You just need to import the library and start using it. I hope that helps.
From: Lazaros Symeonidis on 27 Apr 2010 18:23 "Anar " <anar_tag(a)hotmail.com> wrote in message <hqd149$di9$1(a)fred.mathworks.com>... > Hello Fellows, > I am trying to estimate Full-BEKK model in OxMetrix,but unfortunately it computes only restricted versions i.e. Scalar and diagonal.I was told that Matlab is capable to do this.Does anybody have a code for the 4 variable(3 or 2 is ok as well) MGARCH model. > Thank you guys! Yes, actually there is a very good Matlab library by Kevin Sheppard. You can find it in the web page of the author through the following link: http://www.kevinsheppard.com/wiki/UCSD_GARCH You just need to import the library and start using it. I hope that helps.
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