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