fourth: Fourth-order moment condition for the vector GARCH equation
In hoanguc3m/ccgarch: Conditional Correlation GARCH models
Description
Usage
Arguments
Value
References
See Also
Description
This function computes the fourth-order moment condition for the vector GARCH equation
in the (E)CCC-GARCH models.
Usage
1
fourth(A, B, R)
Arguments
A
an ARCH parameter matrix (N \times N)
B
a GARCH parameter matrix (N \times N)
R
a constant conditional correlation matrix (N \times N)
Value
a scalar. If strictly less than unity, the condition is satisfied.
References
He, C. and T. Ter\"asvirta (2004):
“An Extended Constant Conditional Correlation GARCH model and its Fourth-moment Structure”,
Econometric Theory, 20, 904–926.
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.
See Also
hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.
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Description Usage Arguments Value References See Also
Description
This function computes the fourth-order moment condition for the vector GARCH equation in the (E)CCC-GARCH models.
Usage
1 | fourth(A, B, R)
|
Arguments
A |
an ARCH parameter matrix (N \times N) |
B |
a GARCH parameter matrix (N \times N) |
R |
a constant conditional correlation matrix (N \times N) |
Value
a scalar. If strictly less than unity, the condition is satisfied.
References
He, C. and T. Ter\"asvirta (2004): “An Extended Constant Conditional Correlation GARCH model and its Fourth-moment Structure”, Econometric Theory, 20, 904–926.
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.
See Also
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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