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 was 0.0000000 <= 0.0000100
Usable Observations 734
Log Likelihood 4018.89357492
Variable Coeff Std Error T-Stat Signif
********************************************************************************
1. X{1} 0.070468608 0.054940943 1.28262 0.19962361
2. Y{1} -0.019859362 0.025991680 -0.76407 0.44482783
3. Constant 0.001055736 0.000397773 2.65411 0.00795169
4. X{1} 0.043618576 0.059591899 0.73195 0.46419616
5. Y{1} 0.027581148 0.038200735 0.72201 0.47029098
6. Constant -0.001339701 0.000743016 -1.80306 0.07137898
7. C(1,1) 0.007783080 0.000685481 11.35419 0.00000000
8. C(2,1) 0.005144775 0.002468643 2.08405 0.03715568
9. C(2,2) -0.003692396 0.004256977 -0.86738 0.38573651
10. A(1,1) 0.944339495 0.065363198 14.44757 0.00000000
11. A(1,2) 0.045783084 0.073319265 0.62443 0.53234223
12. A(2,1) -0.461260551 0.027340872 -16.87073 0.00000000
13. A(2,2) 0.203771239 0.040610196 5.01774 0.00000052
14. B(1,1) 0.215105616 0.056970114 3.77576 0.00015952
15. B(1,2) -0.035913990 0.065280995 -0.55014 0.58222017
16. B(2,1) 0.133634849 0.043398974 3.07922 0.00207546
17. B(2,2) 0.944664187 0.023574166 40.07201 0.00000000