Here is one more question, How could I input an asymmetry in volatility speci cation in the BEKK function? As far as I know, the BEKK estimation function is
mvBEKK.est(eps, order = c(1,1), params = NULL, fixed = NULL, method = "BFGS", verbose = F) I totally have no idea to exert an asymmetry into. Many thanks! Sincere, Zoe -- View this message in context: http://r.789695.n4.nabble.com/the-significance-of-BEKK-estimation-tp3716586p3716597.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
