vec.garch.derivative {ccgarch}R Documentation

Computing partial derivatives of a vector GARCH(1, 1) equation

Description

This function computes partial derivatives of a vector GARCH(1, 1) equation with respect to its parameters.

Usage

   vec.garch.derivative(dvar, B, h)

Arguments

dvar a matrix of the observed residuals (T times N)
B a GARCH parameter matrix (N times N)
h a matrix of volatilities (T times N)

Value

a vector of partial derivatives (T times N*npar.h)

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]