a_dccmidas_mat_est: Obtains the matrix H_t, R_t and long-run correlations, under...

In dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models

Obtains the matrix H_t, R_t and long-run correlations, under the A-DCC-MIDAS model

Description

Obtains the matrix H_t, R_t and long-run correlations, under the A-DCC-MIDAS model For details, see \insertCitecolacito2011component;textualdccmidas and \insertCitedcc_engle_2002;textualdccmidas.

Usage

a_dccmidas_mat_est(est_param, res, Dt, lag_fun = "Beta", N_c, K_c)

Arguments

est_param	Vector of estimated values
res	Array of standardized daily returns, coming from the first step estimation
Dt	Matrix of conditional standard deviations (coming from the first step)
lag_fun	optional. Lag function to use. Valid choices are "Beta" (by default) and "Almon", for the Beta and Exponential Almon lag functions, respectively
N_c	Number of (lagged) realizations to use for the standarized residuals forming the long-run correlation
K_c	Number of (lagged) realizations to use for the long-run correlation

Value

A list with the H_t, R_t and long-run correlaton matrices, for each t.

References

\insertAllCited

dccmidas documentation built on May 29, 2024, 5:26 a.m.