CCCgarch.MM: compute comoments for use by lower level optimization...

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

compute comoments for use by lower level optimization functions when the conditional covariance matrix is a CCC GARCH model

Description

it first estimates the conditional GARCH variances, then filters out the time-varying volatility and estimates the higher order comoments on the innovations rescaled such that their unconditional covariance matrix is the conditional covariance matrix forecast

Usage

CCCgarch.MM(R, momentargs = NULL, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
momentargs	list containing arguments to be passed down to lower level functions, default NULL
...	any other passthru parameters

PortfolioAnalytics documentation built on April 4, 2025, 2:34 a.m.