dcc_mat_est: Obtains the matrix H_t and R_t, under the cDCC model

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

Description

Obtains the matrix H_t and R_t, under the cDCC model For details, see \insertCiteaielli2013dynamic;textualdccmidas and \insertCitedcc_engle_2002;textualdccmidas.

Usage

dcc_mat_est(est_param, res, Dt, K_c)

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.