analytical.grad {ccgarch} | R Documentation |
This function returns the analytical gradient of the log-likelihood function of the (E)CCC-GARCH(1,1) model.
analytical.grad(a, A, B, R, u, model)
a |
a vector of constants (N times 1) |
A |
an ARCH parameter matrix (N times N) |
B |
a GARCH parameter matrix (N times N) |
R |
a constant conditional correlation (N times N) |
u |
a matrix of the observed residuals (T times N) |
model |
a character string describing the model. "diagonal" for the diagonal model and "extended" for the extended (full ARCH and GARCH parameter matrices) model |
a (npar times T) matrix of gradients
In the output, each column (not row) corresponds to the gradient at observation t.
Nakatani, T. and T. er"{a}svirta (2008), “Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model”, Econometrics Journal, forthcoming.
Nakatani, T. and T. Ter"{a}svirta (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.