p_mat: Re-arranging a vector into parameter matrices

In hoanguc3m/ccgarch: Conditional Correlation GARCH models

Description

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

Usage

   p.mat(para, model, ndim)

Arguments

para	a vector of parameters to be re-arranged into parameter matrices
model	a character string describing the model. "diagonal" for the diagonal model and "extended" for the extended (full ARCH and GARCH parameter matrices) model
ndim	the number of dimension of the model

Value

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

References

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.

hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.