I am trying to find whether there is significant volatility transmission between two price series (t=1000). A literature review learned me that the GARCH BEKK model is suitable for this.
The SAS package can estimate it, see user guide However, I am getting strange results. Now I am in doubt about whether I am doing this the right way. I thought I should just make sure the series are stationary by first differencing them and afterwards, I can directly put them into the GARCH BEKK model by SAS.
proc varmax data=price-series; model series1 series2; garch q=1 p=1 form=bekk; run;
Which steps am I overlooking?