[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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