OPEN DATA d:\g4.xls

DATA(FORMAT=XLS,ORG=COLUMNS) 1 735 x y

system(model=var1)

variables x y

lags 1

det constant

end(system)

garch(p=1,q=1,model=var1,mv=bek,pmethod=simplex,piters=10,hmatrices=hd,rvectors=rd) / x y

set z1 = rd(t)(1)/sqrt(hd(t)(1,1))

set z2 = rd(t)(2)/sqrt(hd(t)(2,2))

vcv(matrix=cc)

# z1 z2

MV-GARCH, BEKK - Estimation by BFGS

Convergence in 71 Iterations. Final criterion was0.0000000 <=0.0000100

Usable Observations 734

Log Likelihood 4018.89357492

Variable Coeff Std Error T-Stat Signif

********************************************************************************

1.X{1} 0.0704686080.054940943 1.282620.19962361

2.Y{1} -0.0198593620.025991680 -0.764070.44482783

3.Constant 0.0010557360.000397773 2.654110.00795169

4.X{1} 0.0436185760.059591899 0.731950.46419616

5.Y{1} 0.0275811480.038200735 0.722010.47029098

6.Constant -0.0013397010.000743016 -1.803060.07137898

7.C(1,1) 0.0077830800.000685481 11.354190.00000000

8.C(2,1) 0.0051447750.002468643 2.084050.03715568

9.C(2,2) -0.0036923960.004256977 -0.867380.38573651

10. A(1,1) 0.9443394950.065363198 14.447570.00000000

11. A(1,2) 0.0457830840.073319265 0.624430.53234223

12. A(2,1) -0.4612605510.027340872 -16.870730.00000000

13. A(2,2) 0.2037712390.040610196 5.017740.00000052

14. B(1,1) 0.2151056160.056970114 3.775760.00015952

15. B(1,2) -0.0359139900.065280995 -0.550140.58222017

16. B(2,1) 0.1336348490.043398974 3.079220.00207546

17. B(2,2) 0.9446641870.023574166 40.072010.00000000