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