This function computes the analytical Hessian of the loglikelihood function of the (E)CCCGARCH model.
1  analytical.Hessian(a, A, B, R, u, model)

a 
a vector of constants in the vector GARCH equation (N \times 1) 
A 
an ARCH parameter matrix in the vector GARCH equation (N \times N) 
B 
a GARCH parameter matrix in the vector GARCH equation (N \times N) 
R 
a constant conditional correlation matrix (N \times N) 
u 
a matrix of the data data used for estimating the (E)CCCGARCH(1,1) model (T \times N) 
model 
a character string describing the model. 
a npar \times npar Hessian matrix of the loglikelihood function of the (E)CCCGARCH model
Nakatani, T. and T. Ter\"asvirta (2009), “Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model”, Econometrics Journal, 12, 147–163.
Nakatani, T. and T. Ter\"asvirta (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.
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