vector.garch {ccgarch}R Documentation

A vector GARCH(1,1) conditional variances

Description

This function computes a vector GARCH(1,1) conditional variances.

Usage

    vector.garch(dvar, a, A, B)

Arguments

dvar a matrix of the data, used as epsilon (T times N)
a initial values for constants in the vector GARCH equation (N times 1)
A initial values for an ARCH parameter matrix in the vector GARCH equation (N times N)
B initial values for a GARCH parameter matrix in the vector GARCH equation (N times N)

Value

a matrix of conditional variances (T times N)

References

Nakatani, T. and T. Ter"asvirta (2009), “Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model”, Econometrics Journal, 12, 147-163.

Nakatani, T. and T. Ter"asvirta (2008), “Appendix to Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model” Department of Economic Statistics, Stockholm School of Economics, available at http://swopec.hhs.se/hastef/abs/hastef0649.htm.


[Package ccgarch version 0.1.9 Index]