a_dcc_mat_est: Obtains the matrix H_t and R_t, under the A-DCC model

In dccmidas: DCC Models with GARCH-MIDAS Specifications in the Univariate Step

Description

Obtains the matrix H_t and R_t, under the A-DCC model For details, see \insertCitecappiello2006asymmetric;textualdccmidas and \insertCitedcc_engle_2002;textualdccmidas.

Usage

a_dcc_mat_est(est_param, res, Dt, K_c = NULL)

Arguments

res	Array of standardized daily returns, coming from the first step estimation.
K_c	optional Number of initial observations to exclude from the H_t and R_t calculation
param	Vector of estimated values.

Value

A list with the H_t and R_t matrices, for each t.

References

\insertAllCited

dccmidas documentation built on March 15, 2021, 5:08 p.m.