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().