dBEKK_mat_est: dBEKK covariance matrix
In dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models
dBEKK_mat_est R Documentation
dBEKK covariance matrix
Description
Obtains the conditional covariance matrix from the diagonal BEKK model.
Usage
dBEKK_mat_est(param, ret)
Arguments
param
Vector of starting values.
ret
Txk matrix of daily returns. At the moment, k can be at most 4
Value
The resulting vector is the log-likelihood value for each t.
References
\insertAllCited
dccmidas documentation built on May 29, 2024, 5:26 a.m.
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| dBEKK_mat_est | R Documentation |
dBEKK covariance matrix
Description
Obtains the conditional covariance matrix from the diagonal BEKK model.
Usage
dBEKK_mat_est(param, ret)
Arguments
param |
Vector of starting values. |
ret |
Txk matrix of daily returns. At the moment, k can be at most 4 |
Value
The resulting vector is the log-likelihood value for each t.
References
\insertAllCitedR Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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