vector.garch {ccgarch} | R Documentation |
This function computes a vector GARCH(1,1) conditional variances.
vector.garch(dvar, a, A, B)
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) |
a matrix of conditional variances (T times N)
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.