# 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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