Question 1: What is the actual equation that i do run in E-views Software? after creating New Object of GARCH BEKK
Question 2: How do i Interpret the results?
Details of Research
Topic: Returns spillover & volatility transmission: Evidence from selected south Asian market.
Selected South Asian Countries: Pakistan, India, Sri-Lanka and Bangladesh
Variables: Returns of Stock Indices, Exchange Rate
Data Frequency: Weekly
Thanks in Anticipation
Dear Muhammad !!
If you are new to multivariate GARCH models including BEKK var-cov specification I would suggest you start with RATS software. The RATS is a bit code-based but it covers more recent MGARCH models. Alternatively, you may try to use S-PLUS, GAUSS and Matlab if you have an access. These software packages allow one to estimate an unrestricted version of variance-covariance matrix.
As far as I know, spillovers can't be modeled in EViews as it restricts variance-covariance matrix to be diagonal unless you are comfortable with EViews programming language. But I am not sure about the newest versions as I have not been using it for a long time.
Best,
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