The RATS Software Forum

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

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.

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