CODEWITHSUNDEEP
time-seriesfgarch
Siddharth Matta
Siddharth Matta

Reputation: 1

Conditional Mean Equation used in BEKKs package in R

I am trying to find out the volatility spillover between Sensex returns, and USD-INR returns. I have taken log(Sensex(t)/Sensex(t-1))*100; and similarly for the USD-INR. I am using BEKKs package in R.

In the BEKKs package, what is the meaning of e(t-1)? If I am putting returns directly into the function-

a). Is the e(t-1) directly generated from the conditional mean equation? b). What is the conditional mean equation used in BEKKs? How can I get the parameters for the conditional mean equation? c). Instead of putting returns directly, should I use VAR on Sensex and USD-INR, and then input the residuals in the BEKK-GARCH process in BEKKs pacakge?

I have tried using returns directly in the package, and I want to know how is the residual being calculated from the conditional mean equation? Where can I get the parameter estimates of the conditional mean equation? Is it right to introduce returns directly into the equation, and not the residuals from a separate VAR process?

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