BEKK Model

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Description

Estimation of a BEKK(1,1) Model for a k-dimensional time series. Only k = 2 or 3 is available

Usage

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BEKK11(rt, include.mean = T, cond.dist = "normal")

Arguments

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 inoovations are used in the current version.

Value

estimates

Parameter estimates

HessianMtx

Hessian matirx of the estimates

Sigma.t

The multivariate volatilities, each row contains k-by-k elements of the volatility matrix Sigma(t)

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 7)

Examples

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 #data("mts-examples",package="MTS")
 #da=ibmspko
 #rtn=log(da[,2:3]+1)
 #m1=BEKK11(rtn)

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