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


Usage: sig=bgsigma(et,a1,g1,c0,os,hndl)
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"
sig vector of time varying volatility estimates

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