p.mat {ccgarch} | R Documentation |
A utility function that re-arranges a vector of parameters into parameter matrices in the CC-GARCH(1,1) model.
p.mat(para, model, ndim)
para |
a vector of parameters to be re-arranged into parameter matrices |
model |
a character string describing the model. "diagonal" for the diagonal model
and "extended" for the extended (full ARCH and GARCH parameter matrices) model |
ndim |
the number of dimension of the model |
A list with components:
a |
a vector of constants in the vector GARCH equation |
A |
an ARCH parameter matrix |
B |
a GARCH parameter matrix |
R |
a constant conditional correlation matrix |
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.