Description Usage Arguments Value References See Also

A utility function that checks if the two parameter matrices in a vector GARCH model satisfy the stationarity condition.

1 2 | ```
stationarity(A,B)
``` |

`A` |
an ARCH parameter matrix in the vector GARCH equation |

`B` |
a GARCH parameter matrix in the vector GARCH equation |

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

He, C. and T. Ter\"asvirta (2004):
“An Extende Constant Conditional Correlation GARCH model and its Fourth-moment Structure”,
*Econometric Theory*, **20**, 904–926.

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.

ccgarch documentation built on May 29, 2017, 12:58 p.m.

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