XploRe Help : bgc0stern1

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:	bigarch

Quantlet:		bgc0stern1
Description:		auxiliary quantlet that computes initial values for the deterministic part of the BEKK model from a time series and ARCH and GARCH parameter matrices.

Reference(s):

Engle and Kroner (1995). Multivariate simultaneous GARCH. Econometric Theory, 11. pp. 122-150.

Usage:	`c0ster=bgc0stern1(gar,a1,g1)`
Input:
	`gar`	T x 2 matrix representing a bivariate time series
	`a1`	n x p matrix containing ARCH parameters of the BEKK-form
	`g1`	n x p matrix containing GARCH parameters of the BEKK-model
Output:
	`c0ster`	deterministic variance components

Author: H. Herwartz, 20020111