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.


Usage: c0ster=bgc0stern1(gar,a1,g1)
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
c0ster deterministic variance components

Author: H. Herwartz, 20020111
(C) MD*TECH Method and Data Technologies, 05.02.2006