Multivariate GARCH causality testing
I am interested in conducting variance causality tests from a multivariate GARCH (BEKK) model. Hafner and Herwartz (2004) propose a Wald statistic in their working paper, "Testing for Causality in Variance Using Multivariate GARCH Models." How can this be implemented in RATS? Is there a procedure that exists?
I didn't find the right solution from the internet.