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) | |
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 |