fourth {ccgarch}R Documentation

Fourth-order moment condition for the vector GARCH equation

Description

This function computes the fourth-order moment condition for the vector GARCH equation in the (E)CCC-GARCH models.

Usage

    fourth(A, B, R)

Arguments

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)

Value

a scalar. If strictly less than unity, the condition is satisfied.

References

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.

See Also

stationarity


[Package ccgarch version 0.1.1 Index]