However, what if we estimate a multivariage diagonal BEKK? A 10,10and also B 1, B 10,10can some one please help me to interprete these results about having more than two asset in the BEKK model? Yamaha outboard ignition coil test I underestand that if I have a bivariate diagonal BEKK estimation including asset i and j, then matrix A represents the effect of shock in asset i at time t-1 on the subsequent co-volatility between assets i and j at time t. You do not have the required permissions to view the files attached to this post. Can I use this model to test the volatility spillover? How can I read the result? Can I use CCC model to test the volatility spillover? What should I choose for coefficient restriction? Thanks for your reading. I am trying to use the multivariate GARCH model to test the volatility spillover and I have several questions as follow: 1.
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