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Unveiling the Illusion: Full BEKK Model's Flawed Foundation Exposed

MODSIM
The correct regularity condition and interpretation of asymmetry in EGARCH
Chia‐Lin Chang, Michael McAleer

Paper Summary

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The paper shows that univariate GARCH is not the same as multivariate GARCH, except under certain restrictions. It discusses the conditions needed for accurate estimates in GARCH models and explains that the Full BEKK model lacks a proper underlying process for its properties.