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

Description Usage Arguments Value References

View source: R/functions.R

Description

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

Usage

1
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 March 15, 2021, 5:08 p.m.