vec.garch.derivative: Computing partial derivatives of a vector GARCH(1, 1) equation
Description
This function computes partial derivatives of a vector GARCH(1, 1) equation with respect to
its parameters.
Usage
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.