On Thu, 11 Aug 2011, Oscar Soppelsa wrote:
May you tell me how may I estimate a variance/covariance matrix using
GARCH(1,1) model?
I'm afraid I don't understand what you want to do. Do you need the
covariance matrix of the estimated parameters or a multivariate garch
model (or something else altogether)?
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti