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tp3716586p3716586
2011 Aug 03
1
the significance of BEKK estimation
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
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