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_mat R Documentation
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.
dccmidas documentation built on May 29, 2024, 5:26 a.m.
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.
| riskmetrics_mat | R Documentation |
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.
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.