Saving conditional variances

[FaeK]

Dear Tom,

I hope that this email finds you well. I would like to save the conditional variances from the multivariate GARCH using maximize (in the attached file). I will be much grateful if you could provide your insights in this regard.

Many thanks for everything,
Faek

[TomDoan]

Those are already saved in the H. You can pull those out with something like

set h11 gstart gend = h(t)(1,1)

and similarly for the other components.

[FaeK]

Thank you so much for the prompt reply and the valuable help- It is much appreciated!