BEKK11 function

BEKK Model

Estimation of a BEKK(1,1) Model for a k-dimensional time series. Only k = 2 or 3 is available

BEKK11(rt, include.mean = T, cond.dist = "normal", ini.estimates = NULL)

Arguments

• rt: A T-by-k data matrix of k-dimensional asset returns
• include.mean: A logical switch to include a constant vector in the mean equation. Default is with a constant vector.
• cond.dist: Conditional innovation distribution. Only Gaussian innovations are used in the current version.
• ini.estimates: Optional initial estimates.

Returns

• estimates: Parameter estimates

• HessianMtx: Hessian matrix of the estimates

• Sigma.t: The multivariate volatilities, each row contains k-by-k elements of the volatility matrix Sigma(t)

References

Tsay (2014, Chapter 7)

Author(s)

Ruey S. Tsay

Examples

#data("mts-examples",package="MTS")
 #da=ibmspko
 #rtn=log(da[,2:3]+1)
 #m1=BEKK11(rtn)