riskmetrics_mat: RiskMetrics model

In dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models

RiskMetrics model

Description

Obtains the matrix H_t, under the RiskMetrics model.

Usage

riskmetrics_mat(r_t, lambda = 0.94)

Arguments

r_t	List of daily returns
lambda	optional Decay parameter. Default to 0.94

Value

A list with the H_t matrix, for each t.

Examples

# close to close daily log-returns
r_t_s <- diff(log(sp500['2010/2019'][,3]))
r_t_s[1] <- 0

r_t_n <- diff(log(nasdaq['2010/2019'][,3]))
r_t_n[1] <- 0

r_t_f <- diff(log(ftse100['2010/2019'][,3]))
r_t_f[1] <- 0

db_m <- xts::merge.xts(r_t_s, r_t_n, r_t_f)
db_m <- db_m[complete.cases(db_m),]
colnames(db_m) <- c("S&P500", "NASDAQ", "FTSE100")

# list of returns
r_t <- list(db_m[,1], db_m[,2], db_m[,3])
RM <- riskmetrics_mat(r_t)

dccmidas documentation built on Sept. 9, 2026, 5:09 p.m.