eccc.estimation {ccgarch} | R Documentation |
This function estimates an (E)CCC-GARCH(1,1) model and returns estimates, estimated volatility and various diagnostic statistics.
eccc.estimation(a, A, B, R, dvar, model)
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 |
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 |
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.