# constructing parameter vector and matrices. positivity constraints are imposed in "lleccc.c"
p.mat <- function(para, model, ndim){
npara <- length(para)
if(model=="diagonal"){ # for the diagonal vector GARCH equation
a <- para[1:ndim]^2 # constant in variance
A <- diag(para[(ndim+1):(2*ndim)]^2) # ARCH parameter
B <- diag(para[(2*ndim+1):(3*ndim)]^2) # GARCH parameter
R <- diag(ndim) # Constant Conditional Correlation Matrix
R[lower.tri(R)] <- para[(3*ndim+1):npara]; R <- (R+t(R)); diag(R) <- 0.5*diag(R)
} else if(model=="extended"){ # for the extended vector GARCH equation
a <- para[1:ndim]^2
A <- matrix(para[(ndim+1):(ndim^2+ndim)]^2, ndim, ndim)
B <- matrix(para[(ndim^2+ndim+1):(2*ndim^2+ndim)]^2, ndim, ndim)
R <- diag(ndim)
R[lower.tri(R)] <- para[(2*ndim^2+ndim+1):npara]; R <- (R+t(R)); diag(R) <- 0.5*diag(R)
} else if(model=="ECCC.neg"){ # the extended model with negative interaction
a <- para[1:ndim]^2
A <- matrix(para[(ndim+1):(ndim^2+ndim)]^2, ndim, ndim)
B <- matrix(para[(ndim^2+ndim+1):(2*ndim^2+ndim)], ndim, ndim)
R <- diag(ndim)
R[lower.tri(R)] <- para[(2*ndim^2+ndim+1):npara]; R <- (R+t(R)); diag(R) <- 0.5*diag(R)
}
list(a=a, A=A, B=B, R=R)
}
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.