[Gretl-users] Re: Multivariate GARCH models
On Fri, 10 Mar 2023, Sven Schreiber wrote:
Am 10.03.2023 um 13:26 schrieb Riccardo (Jack) Lucchetti:
>
> you may want to change that to
>
> "include BEKK.gfn"
>
> and check for functions beginning with "Get_": those have now a different
> name.
Jack, do I understand correctly that there was for example a "Get_Loglik"
function in MGARCH which has become "BEKK_GetLoglik" in the new BEKK package?
(And similar for the new BEKK_GetResids, BEKK_GetVariance, and
BEKK_GetCovariance.)
Yes, exactly.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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