A vector GARCH(1,1) conditional variances

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Description

This function computes a vector GARCH(1,1) conditional variances.

Usage

1
    vector.garch(dvar, a, A, B)

Arguments

dvar

a matrix of the data, used as epsilon (T \times N)

a

initial values for constants in the vector GARCH equation (N \times 1)

A

initial values for an ARCH parameter matrix in the vector GARCH equation (N \times N)

B

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

Value

a matrix of conditional variances (T \times N)

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.

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