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the significance of BEKK estimation

2 messages · zoe_zhang

Original
zoe_zhang
# 
Dear ALL,

I use BEKK package to estimate Bivariate GARCH model. But when the results
come out, there's no t-stat or p-value of the estimated coeffients. Does
anyone know how to get the significance?

Followings are the codes I input,
Anyhelp would be appreciated!

Sincere,
Zoe

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zoe_zhang
# 
Here is one more question,
How could I input an asymmetry in volatility specication in the BEKK
function?
As far as I know, the BEKK estimation function is 

mvBEKK.est(eps, order = c(1,1), params = NULL, fixed = NULL, method =
"BFGS", verbose = F)

I totally have no idea to exert an asymmetry into.

Many thanks!

Sincere,
Zoe


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