Is there any implementation for Multivariate GARCH -BEKK model?
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Hello all,
Is there any implementation for Multivariate GARCH-BEKK model? I am not familiar with MATLAB too much and I need a simple implementation that I can use.
Thank you
1 Comment
Nirav Sharda
on 2 Aug 2017
Edited: Nirav Sharda
on 2 Aug 2017
There is a third-party toolbox (MFE toolbox) that you can refer to.
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on 27 Jul 2017
on 2 Aug 2017
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