Transforms garch parameters
param=garch_trans(param,k)
* param = [b ; a0 ; ar ; ma]
* k = size(b,1)
* param = vector of transformed parameters
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 | ![]() | ![]() |