vec_garch_derivative: Computing partial derivatives of a vector GARCH(1, 1)...

Description Usage Arguments Value References

Description

This function computes partial derivatives of a vector GARCH(1, 1) equation with respect to its parameters.

Usage

1
   vec.garch.derivative(dvar, B, h)

Arguments

dvar

a matrix of the data used for estimating an ECCC or DCC GARCH model (T \times N)

B

a GARCH parameter matrix in the vector GARCH equation (N \times N)

h

a matrix of conditional variances (T \times N)

Value

a vector of partial derivatives (T \times N*npar.h)

References

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.