Multivariate GARCH models: software choice and estimation issues
多变量 GARCH 模型：软件选择与估计问题
The model acronym arises from the first letters of the surnames of the authors, with Bollerslev and Krafts being co-authors on the original version of the paper.2 Since Brooks et al. (2002) estimated only BEKK models, and this review uses the diagonal VECH representation, our results are not directly comparable with theirs.3 Since these contracts expire four times per year-March, June, September and December-to obtain a continuous time series we use the closest to maturity…