请教各位高手如何将RATs中多元GARCH模型的方差导出。谢谢!
open data g10xrate.xls
data(format=xls,org=columns) 1 6237 usxjpn usxfra usxsui
set xjpn = 100.0*log(usxjpn/usxjpn{1})
set xfra = 100.0*log(usxfra/usxfra{1})
set xsui = 100.0*log(usxsui/usxsui{1})
GARCH(P=1,Q=1,MV=BEKK,RVECTORS=U,HMATRICES=H) / XJPN XFRA
小弟就是想看看矩阵H。谢谢!