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

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

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.