deco_mat_est: Obtains the matrix H_t and R_t, under the DECO model

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 and R_t, under the DECO model

Description

Obtains the matrix H_t and R_t, under the DECO model For details, see \insertCiteengle2012dynamic;textualdccmidas.

Usage

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

Arguments

est_param	Vector of estimated values
res	Array of standardized daily returns, coming from the first step estimation
Dt	Diagonal matrix of standard deviations
K_c	optional Number of initial observations to exclude from the H_t and R_t calculation

Value

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

References

\insertAllCited

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