vector.garch {ccgarch}R Documentation

A vector GARCH(1,1) volatility

Description

This function computes a vector GARCH(1,1) volatility.

Usage

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

Arguments

dvar a matrix of the observed residuals (T times N)
a a vector of constants (N times 1)
A an ARCH parameter matrix (N times N)
B a GARCH parameter matrix (N times N)

Value

a matrix of volatilities (T times N)

References

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.


[Package ccgarch version 0.1.1 Index]