BEKK Model
Estimation of a BEKK(1,1) Model for a k-dimensional time series. Only k = 2 or 3 is available
BEKK11(rt, include.mean = T, cond.dist = "normal", ini.estimates = NULL)
rt |
A T-by-k data matrix of k-dimensional asset returns |
include.mean |
A logical switch to include a constant vector in the mean equation. Default is with a constant vector. |
cond.dist |
Conditional innovation distribution. Only Gaussian innovations are used in the current version. |
ini.estimates |
Optional initial estimates. |
estimates |
Parameter estimates |
HessianMtx |
Hessian matrix of the estimates |
Sigma.t |
The multivariate volatilities, each row contains k-by-k elements of the volatility matrix Sigma(t) |
Ruey S. Tsay
Tsay (2014, Chapter 7)
#data("mts-examples",package="MTS")
#da=ibmspko
#rtn=log(da[,2:3]+1)
#m1=BEKK11(rtn)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.