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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

oad(GROCERDIR+'/data/garchd.dat')
 
bounds('1949q1','1983q4')
r1 = ols('gnpdef','cte','lagts(gnpdef)','lagts(2,gnpdef)','lagts(3,gnpdef)','lagts(4,gnpdef)');
bet = r1('beta');
s = r1('ser');
[y,namey,x]=explouniv('gnpdef',list('cte','lagts(gnpdef)','lagts(2,gnpdef)','lagts(3,gnpdef)','lagts(4,gnpdef)'));
p=[bet ; s ; 0 ; 0 ]
parmd = garch_trans(p,5);

// parmd is the values of the parameters at ols solution

AUTHOR

Eric Dubois 2002

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