mvBEKK.diag: Support diagnosis of BEKK(p,q) model fitting
In vst/mgarch: Tools for simulating, estimating and diagnosing MGARCH processes

Description Usage Arguments Details Value Author(s) References See Also Examples

mvBEKK.diag prints the results of an estimation of a BEKK(p,q) model in a fancy format

1	mvBEKK.diag(estimation)

estimation

estimation object returned from the mvBEKK.est routine

mvBEKK.diag prints the results of an estimation of a BEKK(p,q) model in a fancy format

NONE

Harald SCHMIDBAUER harald@hs-stat.com, Vehbi Sinan TUNALIOGLU vst@vsthost.com

Bauwens L., S. Laurent, J.V.K. Rombouts: Multivariate GARCH models: A survey, April, 2003

Bollerslev T.: Modelling the coherence in short-run nominal exchange rate: A multivariate generalized ARCH approach, Review of Economics and Statistics, 498–505, 72, 1990

Engle R.F., K.F. Kroner: Multivariate simultaneous generalized ARCH, Econometric Theory, 122-150, 1995

Engle R.F.: Dynamic conditional correlation: A new simple class of multivariate GARCH models, Journal of Business and Economic Statistics, 339–350, 20, 2002

Tse Y.K., A.K.C. Tsui: A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations, Journal of Business and Economic Statistics, 351-362, 20, 2002

mvBEKK.sim for simulation of BEKK models; mvBEKK.est for estimation of BEKK models.

## Not run: 
sim = mvBEKK.sim(series.count = 3, T = 1000) # simulate a 3 dimensional mgarch model with length of 1000
eps = data.frame(sim$eps[[1]], sim$eps[[2]], sim$eps[[3]]) # encapsulate
est = mvBEKK.est(eps) # estimate the simulated model
mvBEKK.diag(est) # print diagnosis

## End(Not run)