I'm trying to model volatility transmissions for energy and wine prices. I tried ccc MGARCH in STATA but would want to compare results with BEKK-MGARCH. If you can please send the approach to chklyd001 at myuct dot ac dot za. Thank you in advance
Dear Lydia
You may want to see other discussions on this topic in RG:
https://www.researchgate.net/post/Unrestricted_BEKK_GARCH_for_testing_Volatility_spillovers
https://www.researchgate.net/post/Does_anyone_here_know_how_to_run_BEKK-GARCH_or_VAR-GARCH
Thank you Akram. Much appreciated
The simplest and most powerful software is the RATS. It very easy - See
1. https://estima.com/forum/viewtopic.php?f=11&t=1076
2. https://www.researchgate.net/topic/RATS-Software
3. https://estima.com/ratshelp/dialogarchgarchwizard.htm
If you still cant find solution just contact me.
Contact Prof. Dr. Abdulbaki BILGIC.
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