Is it possible to run BEKK-GARCH in Stata? mgarch is of a different model type and google provide me with no good hints.
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2 Answers
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I don't think that it is posible to fit a BEKK in Stata, i'm not sure if you are familiar with R but with the package MTS you can fit a BEKK(1,1), it takes some time to run, i would suggest that you consider a CC-GARCH wich can be estimated in Stata and in R with ccgarch or a DCC that is also posible in both programs
answered Dec 6, 2015 at 23:05
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It doesn't make much sense to me to use a BEKK if you were only looking at one time series. From my understanding you would use BEKK's for Multivariate (G)ARCH models. In this case you can use mgarch dvech or mgarch dcc. dcc stands for dynamic conditional correlation. Both of these modeling methods allow for changing conditional correlations.
see help mgarch
