Hi,

I am trying to measure the volatility spillover effect from S&P500 to FTSE100 using bivariate BEKK-GARCH model. My code inp and outputs are forwarded to the email.

The volatility spillover effect is measured as the sum of the off-diagonal coefficients of the variance equation matrices A and B, which is E[1,2] = |A[1,2]| + |B[1,2]|.

Next, I need do the Wald test to test the off-diagonal coefficients? (whether they are significant or not; meaning there is volatility spillover from sp500 to ftse or not). I do not know how to write the codes for the Wald test to following my codes (I am not good at coding that much, i usually use drop-down menu but i see it is not available in my case).

Does anyone know how to write Wald test codes to following below codes? I am not familiar with coding stuff and bundle context that's why I am asking here.

My codes are:

set verbose off

list returns = spx_return ftse_return

scalar VAR_lags = 1

list VAR_exog = const

bundle Modelbekk = BEKK_setup(returns, VAR_lags, VAR_exog)

BEKK_estimate(&Modelbekk, 10)

BEKK_printout(&Modelbekk)