[R-SIG-Finance] How to use BEKK to estimate asymmetric GARCH Model
zoe_zhang
1987.zhangxi at gmail.com
Wed Aug 3 06:46:50 CEST 2011
Dear ALL,
Sorry to bother again.
I am looking at mgarchBEKK and mgarch package and according to the
introduction, the usage is
mvBEKK.est(eps, order = c(1,1), params = NULL, fixed = NULL, method =
"BFGS", verbose = F)
if I just use codes >mvBEKK.est(eps), it just comes out with symmetric model
estimation.
However I am wondering if I want to do asymmetric BEKK Garch, where should I
incorporate corresponding codes?
any help would be appreciate!
Best Regards,
Zoe
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