Description Usage Arguments Value References Examples

Provides bivariate GJR (`mGJR(p,q,g)`

) estimation procedure.

1 2 |

`eps1` |
First time series. |

`eps2` |
Second time series. |

`order` |
mGJR(p, q, g) order a three element integer vector
giving the order of the model to be fitted. |

`params` |
Initial parameters for the |

`fixed` |
A two dimensional vector that contains the user specified fixed parameter values. |

`method` |
The method that will be used by the |

Estimation results packaged as `mGJR`

class instance. The values are defined as:

- eps1
first time series

- eps2
second time series

- length
length of each series

- order
order of the mGJR model fitted

- estimation.time
time to complete the estimation process

- total.time
time to complete the whole routine within the mGJR.est process

- estimation
estimation object returned from the optimization process, using

`optim`

- aic
the AIC value of the fitted model

- est.params
estimated parameter matrices

- asy.se.coef
asymptotic theory estimates of standard errors of estimated parameters

- cor
estimated conditional correlation series

- sd1
first estimated conditional standard deviation series

- sd2
second estimated conditional standard deviation series

- H.estimated
estimated series of covariance matrices

- eigenvalues
estimated eigenvalues for sum of Kronecker products

- uncond.cov.matrix
estimated unconditional covariance matrix

- resid1
first estimated series of residuals

- resid2
second estimated series of residuals

Bauwens L., S. Laurent, J.V.K. Rombouts, Multivariate GARCH models: A survey, April, 2003

Bollerslev T., Modelling the coherence in short-run nominal exchange rate: A multivariate generalized ARCH approach, Review of Economics and Statistics, 498–505, 72, 1990

Engle R.F., K.F. Kroner, Multivariate simultaneous generalized ARCH, Econometric Theory, 122-150, 1995

Engle R.F., Dynamic conditional correlation: A new simple class of multivariate GARCH models, Journal of Business and Economic Statistics, 339–350, 20, 2002

Tse Y.K., A.K.C. Tsui, A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations, Journal of Business and Economic Statistics, 351-362, 20, 2002

1 2 3 4 5 | ```
## Not run:
sim = BEKK.sim(1000)
est = mGJR(sim$eps1, sim$eps2)
## End(Not run)
``` |

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