CCCgarch.MM: compute comoments for use by lower level optimization...

View source: R/moment.functions.R

CCCgarch.MMR Documentation

compute comoments for use by lower level optimization functions when the conditional covariance matrix is a CCC GARCH model

Description

it first estimates the conditional GARCH variances, then filters out the time-varying volatility and estimates the higher order comoments on the innovations rescaled such that their unconditional covariance matrix is the conditional covariance matrix forecast

Usage

CCCgarch.MM(R, momentargs = NULL, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

momentargs

list containing arguments to be passed down to lower level functions, default NULL

...

any other passthru parameters


braverock/PortfolioAnalytics documentation built on Aug. 25, 2024, 1:03 a.m.