[R] the significance of BEKK estimation

zoe_zhang 1987.zhangxi at gmail.com
Wed Aug 3 21:25:51 CEST 2011


Here is one more question,
How could I input an asymmetry in volatility specication in the BEKK
function?
As far as I know, the BEKK estimation function is 

mvBEKK.est(eps, order = c(1,1), params = NULL, fixed = NULL, method =
"BFGS", verbose = F)

I totally have no idea to exert an asymmetry into.

Many thanks!

Sincere,
Zoe


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