The RATS Software Forum

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

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.

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

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