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Topic: How to estimate garch in mean and BEKK model
Replies: 2   Last Post: Jul 9, 2013 7:53 AM

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Rick

Posts: 11
Registered: 3/5/10
Re: How to estimate garch in mean and BEKK model
Posted: Jul 9, 2013 7:39 AM
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Hi Feli,

Currently, MathWorks does not support GARCH-in-Mean nor multi-variate GARCH models such as BEKK.

The freeware MATLAB site:

http://www.spatial-econometrics.com/

might have some of this capability, or have links to Ken Sheppard's GARCH Toolbox.

Best,
-Rick

"feli " <feli8b@hotmail.com> wrote in message <krgope$130$1@newscl01ah.mathworks.com>...
> Hi,
> It's my first time with matlab and i'm working on my my master thesis (Risk premium) and i don'tt know the code matlab uses to estimate the garch in mean and BEKK mode.
>
>




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