mGJR | R Documentation |
Provides bivariate GJR (mGJR(p,q,g)
) estimation procedure.
mGJR( eps1, eps2, order = c(1, 1, 1), params = NULL, fixed = NULL, method = "BFGS" )
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:
first time series
second time series
length of each series
order of the mGJR model fitted
time to complete the estimation process
time to complete the whole routine within the mGJR.est process
estimation object returned from the optimization process, using optim
the AIC value of the fitted model
estimated parameter matrices
asymptotic theory estimates of standard errors of estimated parameters
estimated conditional correlation series
first estimated conditional standard deviation series
second estimated conditional standard deviation series
estimated series of covariance matrices
estimated eigenvalues for sum of Kronecker products
estimated unconditional covariance matrix
first estimated series of residuals
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
## Not run: sim = BEKK.sim(1000) est = mGJR(sim$eps1, sim$eps2) ## End(Not run)
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