fourth {ccgarch} | R Documentation |
This function computes the fourth-order moment condition for the vector GARCH equation in the (E)CCC-GARCH models.
fourth(A, B, R)
A |
an ARCH parameter matrix (N times N) |
B |
a GARCH parameter matrix (N times N) |
R |
a constant conditional correlation matrix (N times N) |
a scalar. If strictly less than unity, the condition is satisfied.
He, C. and T. Ter"{a}svirta (2004): “An Extended 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.