ccgarch (version 0.2.3)

fourth: Fourth-order moment condition for the vector GARCH equation

Description

This function computes the fourth-order moment condition for the vector GARCH equation in the (E)CCC-GARCH models.

Usage

fourth(A, B, R)

Arguments

A

an ARCH parameter matrix $(N \times N)$

B

a GARCH parameter matrix $(N \times N)$

R

a constant conditional correlation matrix $(N \times N)$

Value

a scalar. If strictly less than unity, the condition is satisfied.

References

He, C. and T. Ter\"asvirta (2004): “An Extended Constant Conditional Correlation GARCH model and its Fourth-moment Structure”, Econometric Theory, 20, 904--926.

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.

See Also

stationarity