| Library: | times |
| See also: | archest archtest genarch rvlm |
| Quantlet: | 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 |
| 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 | |
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
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 |