XploRe Help : bgsigma

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:		bgsigma
Description:		auxiliary quantlet that estimates time varying variances and covariances of a bivariate process according to the BEKK model

Reference(s):

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

Usage:	`sig=bgsigma(et,a1,g1,c0,os,hndl)`
Input:
	`et`	T x 2 matrix of a bivariate time series
	`a1`	n x p matrix containing ARCH parameters in BEKK-representation
	`g1`	n x p matrix of GARCH parameters in the BEKK model
	`c0`	upper triangular matrix of deterministic variance components
	`os`	string determining which operating system is used
	`hndl`	handle to DLL containing the function "sigma"
Output:
	`sig`	vector of time varying volatility estimates

Author: H. Herwarzt, 20020111