09-14-2013 07:35 AM
I want to fit a bivariate GARCH BEKK model to two price series, like in the SAS user guide SAS/ETS(R) 9.22 User's Guide
The user duide mentions the following code:
model y1 y2;
garch q=1 p=1 form=bekk;
With y1 and y2, does the guide refer to the price series itself?
Or do I need to input the residuals from an AR process?