Using %xsubmat

[Narci4269]

Hi Tom. I have a Matrix called hmpxt 5x5 which is updating several times (actually it is a covariance matrix from a Multivariate Garch).
I am trying to include some calculations:

Code: Select all

dec rect dcb2(1731,4)
do j = 1, 1731
   com dcb =  tr(inv(%xsubmat(hmpxt(j),1,4,1,4))*tr(%xsubmat(hmpxt(j),5,5,1,4))) 
   do i = 1, 4
      com dcb2(j,i) = dcb(1,i)
   end do i
end do j

But this error arises:

## MAT17. Can't Use Row Range of 1 to 4 in %XSUBMAT operation
The Error Occurred At Location 49, Line 2 of loop/block

What could I am doing wrong?

Regards,

[TomDoan]

Is it possible that hmpxt(j) isn't defined for entry 1? That will only be defined over the range over which the GARCH model is run.

[Narci4269]

Thanks Tom. Is possible to use %xsubmat in hadjust for GARCH? I am trying but it is not working. Should I do something with declare before?
Regards,

[TomDoan]

You're doing an HMATRICES=hmpxt option? That's only defined over the range for the GARCH instruction, which is probably *not* 1 to 1731. If you don't have the matrix, you can't compute the hedges. You should probably be able to do that with

do j=%regstart(),%regend()
...
end do j

instead, which restricts the calculation to the GARCH range.

[Narci4269]

Ok Tom, but is possible to calculate a series from %xsubmat included in Hadjust? In the example I there is a row vector (1x4) that would be updated in each step. How can I obtain for every column a series (tx1).
For example i would have this line:

hadjust=%(coeffs = tr(inv(%xsubmat(hmecp(j),1,4,1,4))*tr(%xsubmat(hmecp(j),5,5,1,4))))

coeffs is the vector 1x4 that is updated each step. I don´t know how to do (included in the hadjust instruction) that could do, for example, coeff1 = coeffs(t,1), coeff2 = coeffs(t,2) or something in that way.

Thanks for your support.