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 (N times N)
B a GARCH parameter matrix (N times N)

Value

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

References

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

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.

See Also

fourth


[Package ccgarch version 0.1.1 Index]