Asking about covariance matrix BEKK MGARCH

lasava — Wed, 16 Oct 2013 12:03:11 GMT

Hi,

I am now running a BEKK MGARCH to examine spillovers effect of returns and need to calculate covariance of estimated parameters

Here the code I use:

---

proc varmax;

nloptions tech=qn maxiter=500 maxfunc=25000;

model r1 r2;

garch q=1 p=1 form=bekk;

run;

---

Could anyone please advise me how to estimate covariance matrix of estimated parameters in Sas?

I need this matrix to calculate the variance and significance of nonlinear functions of the parameters which form the coefficients of lagged variance, covariance and error term.

I will really appreciate

Re: Asking about covariance matrix BEKK MGARCH

shenan — Sat, 25 Mar 2017 15:59:34 GMT

You can use the outht option in the proc varmax

proc varmax data=new;
model x y / noint;
garch p=1 q=1 form=bekk outht=cov;
run;

dataset cov will include the variance and covariance matrix

topic Asking about covariance matrix BEKK MGARCH in SAS Procedures

Asking about covariance matrix BEKK MGARCH

Re: Asking about covariance matrix BEKK MGARCH