p.mat {ccgarch} | R Documentation |
A utility function that re-arranges a vector of parameters into parameter matrices in the CC-GARCH(1,1) model.
p.mat(para, model, ndim)
para |
a vector of parameters to be re-arranged into matrices of parameters |
model |
a character string describing the model. "diagonal" for the diagonal model and "extended" for the extended (full ARCH and GARCH parameter matrices) model |
ndim |
the number of dimension of the model |
A list with components:
a |
a vector of constants in the vector GARCH equation |
A |
an ARCH parameter matrix |
B |
a GARCH parameter matrix |
R |
a constant conditional correlation matrix |
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.