MVGARCHTOVECH—Conversion of GARCH estimates to VECH

[TomDoan]

@MVGARCHTOVECH strips the GARCH parameters out of a just-estimated GARCH model and converts them to a standard VECH representation. Note that starting with version 9, the GARCH instruction has the option VECHMAT which produces the same matrices. If you use VECHMAT=MYVECH, then MYVECH("A") will be the A matrix, MYVECH("C") will be the C vector, etc.

Detailed description