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) | |
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 |