# nt_test: Carrying out the test of Nakatani and Ter\"asvirta In ccgarch: Conditional Correlation GARCH models

## Description

This function computes the test statistic and the associated p-value of the test for causality in conditiona variance in the CC-GARCH models.

## Usage

 1  nt.test(dvar) 

## Arguments

 dvar (T \times N)

## Value

A matrix containing the test statistics of the standard (non-robust) test and the robust version, and the associated p-values

## References

Nakatani, T and T. Ter\"asvirta (2010), “An Alternative Test for Causality in Variance in the Conditional Correlation GARCH models.” mimeo, Stockholm School of Economics.

hh.test