gretl version 2021a
Current session: 2021-02-01 09:07

? set verbose off
Starting values
Pi:
    0.000397    0.000064
   -0.050955    0.133430
    0.048358    0.002170


C:
    0.000467    0.000000
    0.000084    0.000448


A:
    0.400000    0.000000
    0.000000    0.400000


B:
    0.900000    0.000000
    0.000000    0.900000

  10: Criterion 16627.1439457 (step 6.4e-05, norm 6.96e+00)
  20: Criterion 16639.9354776 (step 0.2, norm 6.70e+00)
  30: Criterion 16652.2439366 (step 1, norm 3.15e+00)
  40: Criterion 16653.4840924 (step 2.048e-08, norm 1.68e+00)
  50: Criterion 16653.5545298 (step 0.008, norm 2.29e+00)
  60: Criterion 16653.7788126 (step 0.2, norm 1.23e+00)
  70: Criterion 16653.8324826 (step 1, norm 5.57e-01)
  80: Criterion 16653.8374905 (step 0.0016, norm 7.16e-01)
  90: Criterion 16653.8380972 (step 0.2, norm 2.49e-01)
--- FINAL VALUES:
Criterion 16653.8381579 (step 8.192e-10, norm 3.64e-02)
Function evaluations: 466
Evaluations of gradient: 94


BEKK Model --- vcvtype = QMLE (Sandwich)
Conditional mean equations:

Equation 1: spx_return

                  coefficient    std. error      z      p-value 
  --------------------------------------------------------------
  const            0.000712991   0.000165512    4.308   1.65e-05 ***
  spx_return_1    -0.0627606     0.0236555     -2.653   0.0080   ***
  ftse_return_1    0.0369226     0.0212449      1.738   0.0822   *

Equation 2: ftse_return

                  coefficient    std. error      z      p-value 
  --------------------------------------------------------------
  const            0.000331985   0.000161217    2.059   0.0395   **
  spx_return_1     0.115157      0.0253740      4.538   5.67e-06 ***
  ftse_return_1   -0.0237711     0.0233471     -1.018   0.3086  



Conditional variance parameters:

             coefficient    std. error       z        p-value 
  ------------------------------------------------------------
  C[ 1, 1]    0.00112042    0.000408521    2.743      0.0061   ***
  C[ 2, 1]   -0.00352084    0.000356764   -9.869      5.68e-23 ***
  C[ 1, 2]    0.00000       0.00000       NA         NA       
  C[ 2, 2]    4.75878e-09   1.36761e-07    0.03480    0.9722  



             coefficient   std. error     z      p-value 
  -------------------------------------------------------
  A[ 1, 1]     0.363313    0.0406707     8.933   4.14e-19 ***
  A[ 2, 1]    -0.260204    0.0814664    -3.194   0.0014   ***
  A[ 1, 2]     0.119805    0.0381856     3.137   0.0017   ***
  A[ 2, 2]     0.318363    0.0496000     6.419   1.38e-10 ***



             coefficient   std. error     z      p-value 
  -------------------------------------------------------
  B[ 1, 1]     0.925578    0.0125063    74.01    0.0000   ***
  B[ 2, 1]     0.249773    0.0701406     3.561   0.0004   ***
  B[ 1, 2]    -0.137171    0.0754339    -1.818   0.0690   *
  B[ 2, 2]     0.754724    0.0368823    20.46    4.60e-93 ***


Sample size = 2451
Average loglikelihood = 6.79471