Description Usage Arguments Value References

This function computes partial derivatives of a vector GARCH(1, 1) equation with respect to its parameters.

1 | ```
vec.garch.derivative(dvar, B, h)
``` |

`dvar` |
a matrix of the data used for estimating an ECCC or DCC GARCH model |

`B` |
a GARCH parameter matrix in the vector GARCH equation |

`h` |
a matrix of conditional variances |

a vector of partial derivatives *(T \times N*npar.h)*

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.

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