vector_garch: A vector GARCH(1,1) conditional variances

In hoanguc3m/ccgarch: Conditional Correlation GARCH models

Description

This function computes a vector GARCH(1,1) conditional variances.

Usage

    vector.garch(dvar, a, A, B)

Arguments

dvar	a matrix of the data, used as epsilon (T \times N)
a	initial values for constants in the vector GARCH equation (N \times 1)
A	initial values for an ARCH parameter matrix in the vector GARCH equation (N \times N)
B	initial values for a GARCH parameter matrix in the vector GARCH equation (N \times N)

Value

a matrix of conditional variances (T \times N)

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.