stationarity: The stationarity condition in Extended CC-GARCH models
In ccgarch: Conditional Correlation GARCH models
Description
Usage
Arguments
Value
References
See Also
Description
A utility function that checks if the two parameter matrices in a vector GARCH model
satisfy the stationarity condition.
Usage
1
2
stationarity(A,B)
Arguments
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)
Value
a scalar. If strictly less than unity, the condition is satisfied.
References
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.
See Also
ccgarch documentation built on May 29, 2017, 12:58 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value References See Also
Description
A utility function that checks if the two parameter matrices in a vector GARCH model satisfy the stationarity condition.
Usage
1 2 |
stationarity(A,B)
|
Arguments
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) |
Value
a scalar. If strictly less than unity, the condition is satisfied.
References
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.
See Also
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.