Hello,
I ran BEKKs MGARCH package on my three variables of interest in R studio. But the output just shows parameters with only corresponding t values. How to interpret significance in this case. The BEKKs package pdf is attached.
According to the package documentation, the t-values are calculated by dividing the estimated parameters by their standard errors. The standard errors are obtained by using the outer product of gradients (OPG) method or the quasi-maximum likelihood (QML) method.
To test the significance of the parameters, you can compare the absolute value of the t-values with a critical value from a t-distribution with a certain degree of freedom and confidence level. For example, if you want to test the significance at 5% level with 100 degrees of freedom, you can use the critical value of 1.984. If the absolute value of the t-value is greater than 1.984, then you can reject the null hypothesis that the parameter is zero and conclude that it is significant.
Alternatively, you can also calculate the p-values from the t-values using a t-distribution function. The p-value is the probability of obtaining a t-value at least as extreme as the observed one under the null hypothesis. If the p-value is less than 0.05, then you can reject the null hypothesis and conclude that the parameter is significant.
According to the package documentation, the t-values are calculated by dividing the estimated parameters by their standard errors. The standard errors are obtained by using the outer product of gradients (OPG) method. The t-value is then compared to a critical value from a t-distribution with degrees of freedom equal to the sample size minus the number of estimated parameters. If the absolute value of the t-value is greater than the critical value, then the parameter is considered significant at that level of significance .
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