p.mat: Re-arranging a vector into parameter matrices
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:
aa vector of constants in the vector GARCH equation
Aan ARCH parameter matrix
Ba GARCH parameter matrix
Ra 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.