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
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