ccgarch (version 0.2.3)

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.