stationarity {ccgarch}R Documentation

The stationarity condition in Extended CC-GARCH models

Description

A utility function that checks if the two parameter matrices in a vector GARCH model satisfy the stationarity condition.

Usage

 
   stationarity(A,B)

Arguments

A an ARCH parameter matrix in the vector GARCH equation (N times N)
B a GARCH parameter matrix in the vector GARCH equation (N times N)

Value

a scalar. If strictly less than unity, the condition is satisfied.

References

He, C. and T. Ter"asvirta (2004): “An Extende Constant Conditional Correlation GARCH model and its Fourth-moment Structure”, Econometric Theory, 20, 904–926.

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.

See Also

fourth


[Package ccgarch version 0.1.9 Index]