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,>P1=data.frame(x,y) >y1=mvBEKK.est(P1) >mvBEKK.diag(y1)Anyhelp would be appreciated! Sincere, Zoe -- View this message in context: http://r.789695.n4.nabble.com/the-significance-of-BEKK-estimation-tp3716586p3716586.html Sent from the R help mailing list archive at Nabble.com.
Here is one more question, How could I input an asymmetry in volatility specication 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 -- View this message in context: http://r.789695.n4.nabble.com/the-significance-of-BEKK-estimation-tp3716586p3716597.html Sent from the R help mailing list archive at Nabble.com.