vcov.tsmarch: The Covariance Matrix of the Estimated Parameters

In tsmarch: Multivariate ARCH Models

The Covariance Matrix of the Estimated Parameters

Description

The Covariance Matrix of the Estimated Parameters

Usage

## S3 method for class 'cgarch.estimate'
vcov(object, adjust = FALSE, type = c("H", "OP", "QMLE", "NW"), ...)

## S3 method for class 'dcc.estimate'
vcov(object, adjust = FALSE, type = c("H", "OP", "QMLE", "NW"), ...)

Arguments

object	an object of class “cgarch.estimate” or “dcc.estimate”.
adjust	logical. Should a finite sample adjustment be made? This amounts to multiplication with n/(n-k) where n is the number of observations and k the number of estimated parameters.
type	valid choices are “H” for using the numerical hessian for the bread, “OP” for the outer product of gradients, “QMLE” for the Quasi-ML sandwich estimator (Huber-White), and “NW” for the Newey-West adjusted sandwich estimator (a HAC estimator).
...	additional parameters passed to the Newey-West bandwidth function to determine the optimal lags.

Value

The variance-covariance matrix of the estimated parameters.

tsmarch documentation built on April 3, 2025, 7:40 p.m.