variance-covariance matrix

[fadimohamed]

Hi Tom
i have been trying to estimate the variance covariance matrix of the garch parameters,
the only thing i found is to add the vcv option in the garch instruction but this option provide the
covariance\correlation matrix.

how can i estimate the variance-covariance matrix of the garch parameters?

thanks for your help

fadi

[TomDoan]

They're the same thing. The covariance\correlation matrix just shows the correlations above the diagonal since the above diagonal in the covariance matrix is identical to the below diagonal.

[fadimohamed]

dear tom,

i have been trying to calculate the inverse of the choleski decomposition to the estimated variances and covariances
from the garch model but i don't know how to convert them into matrix form and loop it for all the sample

thank you

fadi

[TomDoan]

After the GARCH instruction (or almost any similar type of estimator), the matrix %XX is the estimated covariance matrix of the coefficients.