Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: archest archtest genarch rvlm

Macro: bigarch
Description: Estimates the BEKK (Baba, Engle, Kraft, Kroner) volatility representation for bivariate conditionally heteroscedastic time series and evaluates the maximum of the quasi log likelihood function

Reference(s):

Usage: {th,liks}=bigarch(theta,et)
Input:
theta columns of 2x2 ARCH and GARCH parameter matrices
et time series data, tx2
Output:
th elements of upper triangular 2x2 matrix of deterministic variance components and estimated columns of 2x2 ARCH and GARCH parameter matrices
liks evaluated log likelihood function

Example:
library("times")
theta=#(0.5, 0.01, 0.01, 0.5, 0.6, 0.01, 0.01, 0.7)
et=read("bigarch.dat")
{th, liks} = bigarch(theta, et)
th
liks
Result:
Contents of th
[ 1,]  0.66929 
[ 2,]  0.10183 
[ 3,]  0.026132 
[ 4,]  0.37569 
[ 5,]  0.20174 
[ 6,]  -0.2142 
[ 7,]  0.28792 
[ 8,] -0.011575 
[ 9,] -0.02021 
[10,]  0.47874 
[11,]  0.72634 
Contents of liks
[1,]   1035.7 

Library: times
See also: archest archtest genarch rvlm

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Helmut Herwatz, Fabian Noetzel
(C) MD*TECH Method and Data Technologies, 17.8.2000