eccc.estimation {ccgarch}R Documentation

Estimating an (E)CCC-GARCH model

Description

This function estimates an (E)CCC-GARCH(1,1) model and returns estimates, estimated volatility and various diagnostic statistics.

Usage

      eccc.estimation(a, A, B, R, dvar, model)

Arguments

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 CCC matrix (N times N)
dvar a matrix of data (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

Value

A list with components:

out a (4 times npar) matrix. The estimates are contained in the first row. The remaining rows report standard errors based on three different methods of estimating the asymptotic covariance matrix
h the estimated volatility (T times N)
opt the detailed results of the optimisation
para.mat vectorised parameter estimates

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]