Name

garch_trans — Transforms garch parameters

CALLING SEQUENCE

param=garch_trans(param,k)

PARAMETERS

Input

• param = [b ; a0 ; ar ; ma]

• k = size(b,1)

Output

• param = vector of transformed parameters

DESCRIPTION

Function to transform the a0,ar(p),ma(q) parameters of a garch(p,q) in order that the variance is always positive.

EXAMPLE

parmd = garch_trans(parm1,k);
Example taken from function garch(). 

               

AUTHOR

Eric Dubois 2002