vector.garch: A vector GARCH(1,1) conditional variances
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.