R/vector_garch.R

In ccgarch: Conditional Correlation GARCH models

Defines functions vector.garch

Documented in vector.garch

#computing vector GARCH volatilities: valid for CCC, ECCC, DCC, EDCC models

   vector.garch <- function(dvar, a, A, B){
      dvar <- dvar^2           # dvar = eps
     .Call("vector_garch", dvar, a, A, B)
   }

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