Name of Quantlet: XFGmvol02

Published in: Applied Quantitative Finance (3rd Edition)

Description: Estimates the bivariate GARCH model, its (co)variance processes

Keywords: bigarch, BEKK, estimation, plot, graphical representation

See also: XFGmvol01

Author: Matthias R. Fengler, Helmut Herwartz, Fabian H.C. Raters

Datafile: fxdata.dat

Output: estimates.dat, sigmaest.dat, mvolmcovar.png