The RATS Software Forum

Hi Tom,

I am estimating the VAR(1)-BEKK-GARCH(1,1) model and would like to ask how can I set the graph code for the covariance for i.e. hhs(1,2)?

Thank you with best regards,

See

https://estima.com/docs/RATS%2010%20Use ... f#page=328

The example graphs the correlations (rather than covariances); for covariances instead, you would do the same thing without the %CVTOCORR(..) function. For instance,

set jpnfra = hh(t)(1,2)

is the covariance between JPN and FRA.