MVGARCHTOVECH - Conversion of GARCH estimates to VECH
Posted: Wed Apr 25, 2012 12:35 pmThis strips the GARCH parameters out of the %BETA from a just-estimated GARCH model and converts them to a standard VECH representation. The VECH representation has
vech H(t) = C + B vech H(t-1) + A vech e(t-1)e(t-1)' + D vect v(t-1)v(t-1)'
where v(t)=e(t) with positive elements zeroed out. The D is only present if you add the ASYMMETRIC option. vech takes a symmetric matrix and strings it out into a vector according to the rows of the lower triangle, that is, the components of a 3 variable model will be in the order
1
2 3
4 5 6
@MVGARCHtoVECH( options )
Options
MV=[standard]/bekk/diagonal/vech
ASYMMETRIC/[NOASYMMETRIC]
Repeat the options used on the GARCH instruction. These are the only multivariate types which can be converted to VECH.
vech H(t) = C + B vech H(t-1) + A vech e(t-1)e(t-1)' + D vect v(t-1)v(t-1)'
where v(t)=e(t) with positive elements zeroed out. The D is only present if you add the ASYMMETRIC option. vech takes a symmetric matrix and strings it out into a vector according to the rows of the lower triangle, that is, the components of a 3 variable model will be in the order
1
2 3
4 5 6
mvgarchtovech.src- Procedure file - requires RATS 7.0 or later
- (4.84 KiB) Downloaded 208 times
@MVGARCHtoVECH( options )
Options
MV=[standard]/bekk/diagonal/vech
ASYMMETRIC/[NOASYMMETRIC]
Repeat the options used on the GARCH instruction. These are the only multivariate types which can be converted to VECH.