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Hello.

I'm rats 9 user.

I want to know How I can calculate the determint of the variance-covariance after dcc-garch estimated.

after dcc-garch,
I can show the variance-covariance. but the form is lower tringer matrix.

Determinant of the lower tringer matrix and determinant of the 4x4 symmetric matrix is not same.

So bleow command is wrong. please help me.
I also want to know how Can I calculate the eigenvalue.
In symmetrix matrix, "determinant=eigenvalue1*eigenvalue2*eigenvalue3*eigenvalue4"



Thanks in advance.

hyde82 wrote:Hello.

I'm rats 9 user.

I want to know How I can calculate the determint of the variance-covariance after dcc-garch estimated.

Code: Select all

clear
open data data.xls
calendar(w) 2005:01:04
data(format=xls,org=columns,sheet="sheet3",top=2,left=2) 2005:01:04  2015:11:30 $
kospi	ni	jpbo	kobo	krw	jpy

garch(p=1,q=1,mv=dcc,hmatrices=hh,METHOD=BFGS,ITERS=10000) / usastock japanstock canadastock germanystock
set corr_ad3 %regstart() %regend() = %cvtocorr(hh(t))(1,2)
spgraph(hea='DCC',hfi=1,vfi=1)
gra(hea='Panel 1: us-japan') 1 ; # corr_ad3
spgraph(done)

after dcc-garch,

Code: Select all

dis hh(1)

      0.32145
      0.24642       0.44496
     -0.11834      -0.10537       0.12317
      0.03212       0.09905      -0.01116       0.08396

I can show the variance-covariance. but the form is lower tringer matrix.

Determinant of the lower tringer matrix and determinant of the 4x4 symmetric matrix is not same.

So bleow command is wrong.

Code: Select all

set determinant= %det(hh(t))

No. It's symmetric---since it is, it only shows the lower triangle.

hyde82 wrote:
please help me.
I also want to know how Can I calculate the eigenvalue.
In symmetrix matrix, "determinant=eigenvalue1*eigenvalue2*eigenvalue3*eigenvalue4"

The EIGEN instruction or %EIGDECOMP function can compute the eigenvalues. Though if all you're interested in is the determinant, you're already fine with %DET.

Thank for valueable comments TomDoan.

but the determint of the lower tringer matrix and the determint of the symmetrix matrix is not same.

So I want to know that how can i reform the lower tringer matrix to symmetrix matrix?

I also saw the 'EIGEN Instruction'

but errors occured.

please help me.

Thanks in advance.

HH(T) is not lower triangular---SYMMETRIC matrices are displayed just using the lower triangle.

Because EIGEN is a separate instruction, you need to put it in a loop over the entries. But again, the %DET function is what you want.

Sorry for this.

Thanks you very much Tom.