garch2f8: Off-diagonal parameter estimation in bivariate GARCH(1,1)...

In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.

Description

Off-diagonal parameter estimation in bivariate GARCH(1,1) when diagonal parameters are given.

Usage

  garch2f8(y, c1, a1, b1, y1, h1, c2, a2, b2, y2, h2, df)

Arguments

y	: [vector] (T x 1) data generated by a GARCH(1,1) process
c1	: [scalar] diagonal parameter of the GARCH(1,1) process taken from matrix C
a1	: [scalar] diagonal parameter of the GARCH(1,1) process taken from matrix A
b1	: [scalar] diagonal parameter of the GARCH(1,1) process taken from matrix B
y1	: [vector] (T x 1) data generated by a GARCH(1,1) process
h1	: [vector] (T x 1) data generated by a GARCH(1,1) process
c2	: [scalar] diagonal parameter of the GARCH(1,1) process taken from matrix C
a2	: [scalar] diagonal parameter of the GARCH(1,1) process taken from matrix A
b2	: [scalar] diagonal parameter of the GARCH(1,1) process taken from matrix B
y2	: [vector] (T x 1) data generated by a GARCH(1,1) process
h2	: [vector] (T x 1) generated by a GARCH(1,1) process
df	: [scalar] degree of freedom for the t-distribution; the default value is 500 to make it, basically, normal

Value

q : [vector] (4 x 1) parameters of the GARCH(1,1) process

qerr : [vector] (4 x 1) standard error of parameter estimates

hf : [scalar] current conditional heteroskedasticity estimate

hferr : [scalar] standard error on hf

Note

MATLAB's code initially written by Olivier Ledoit, 4/28/1997

Uses a conditional t-distribution with fixed degrees of freedom

Steepest Ascent on boundary, Hessian off boundary, no grid search

Author(s)

Xavier Valls [e-mail]

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.

See Meucci's script for "FitMultivariateGarch.m"

R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.