vec.garch.derivative {ccgarch} | R Documentation |
This function computes partial derivatives of a vector GARCH(1, 1) equation with respect to its parameters.
vec.garch.derivative(dvar, B, h)
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) |
a vector of partial derivatives (T times N*npar.h)
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.