moving_cov_est: Obtains the matrix H_t, under the Moving Covariance model
In dccmidas: DCC Models with GARCH-MIDAS Specifications in the Univariate Step
Description
Usage
Arguments
Value
View source: R/functions.R
View source: R/functions.R
Description
Obtains the matrix H_t, under the Moving Covariance model.
Obtains the matrix H_t, under the Moving Covariance model.
Usage
1
2
3
moving_cov_est(rt, V)
moving_cov_est(rt, V)
Arguments
rt
List of daily returns
V
Length of the rolling window adopted
Value
A list with the H_t matrix, for each t.
A list with the H_t matrix, for each t.
dccmidas documentation built on March 15, 2021, 5:08 p.m.
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Description Usage Arguments Value
View source: R/functions.R View source: R/functions.R
Description
Obtains the matrix H_t, under the Moving Covariance model.
Obtains the matrix H_t, under the Moving Covariance model.
Usage
1 2 3 | moving_cov_est(rt, V)
moving_cov_est(rt, V)
|
Arguments
rt |
List of daily returns |
V |
Length of the rolling window adopted |
Value
A list with the H_t matrix, for each t.
A list with the H_t matrix, for each t.
R 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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