Description Usage Arguments Value References

A utility function that re-arranges a vector of parameters into parameter matrices in the CC-GARCH(1,1) model.

1 | ```
p.mat(para, model, ndim)
``` |

`para` |
a vector of parameters to be re-arranged into parameter matrices |

`model` |
a character string describing the model. |

`ndim` |
the number of dimension of the model |

A list with components:

`a` |
a vector of constants in the vector GARCH equation |

`A` |
an ARCH parameter matrix |

`B` |
a GARCH parameter matrix |

`R` |
a constant conditional correlation matrix |

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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