vec_garch_derivative: Computing partial derivatives of a vector GARCH(1, 1)...
In hoanguc3m/ccgarch: Conditional Correlation GARCH models
Description
Usage
Arguments
Value
References
Description
This function computes partial derivatives of a vector GARCH(1, 1) equation with respect to
its parameters.
Usage
1
vec.garch.derivative(dvar, B, h)
Arguments
dvar
a matrix of the data used for estimating an ECCC or DCC GARCH model (T \times N)
B
a GARCH parameter matrix in the vector GARCH equation (N \times N)
h
a matrix of conditional variances (T \times N)
Value
a vector of partial derivatives (T \times N*npar.h)
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.
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Description Usage Arguments Value References
Description
This function computes partial derivatives of a vector GARCH(1, 1) equation with respect to its parameters.
Usage
1 | vec.garch.derivative(dvar, B, h)
|
Arguments
dvar |
a matrix of the data used for estimating an ECCC or DCC GARCH model (T \times N) |
B |
a GARCH parameter matrix in the vector GARCH equation (N \times N) |
h |
a matrix of conditional variances (T \times N) |
Value
a vector of partial derivatives (T \times N*npar.h)
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.
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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