ccgarch (version 0.2.3)

stationarity: The stationarity condition in Extended CC-GARCH models

Description

A utility function that checks if the two parameter matrices in a vector GARCH model satisfy the stationarity condition.

Usage

stationarity(A,B)

Arguments

A

an ARCH parameter matrix in the vector GARCH equation $(N \times N)$

B

a GARCH parameter matrix in the vector GARCH equation $(N \times N)$

Value

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

References

He, C. and T. Ter\"asvirta (2004): “An Extende 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

fourth