riskmetrics_est: RiskMetrics model
In dccmidas: DCC Models with GARCH-MIDAS Specifications in the Univariate Step
Description
Usage
Arguments
Value
Description
Obtains the matrix H_t, under the RiskMetrics model.
Usage
1
riskmetrics_est(rt, lambda = 0.94)
Arguments
rt
List of daily returns
lambda
optional Decay parameter. Default to 0.94
Value
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
Description
Obtains the matrix H_t, under the RiskMetrics model.
Usage
1 | riskmetrics_est(rt, lambda = 0.94)
|
Arguments
rt |
List of daily returns |
lambda |
optional Decay parameter. Default to 0.94 |
Value
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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