dcc_mat_est {dccmidas} | R Documentation |
Obtains the matrix H_t and R_t, under the cDCC model
Description
Obtains the matrix H_t and R_t, under the cDCC model For details, see Aielli (2013) and Engle (2002).
Usage
dcc_mat_est(est_param, res, Dt, K_c)
Arguments
est_param |
Vector of estimated values |
res |
Array of standardized daily returns, coming from the first step estimation |
Dt |
Diagonal matrix of standard deviations |
K_c |
optional Number of initial observations to exclude from the H_t and R_t calculation |
Value
A list with the H_t
and R_t
matrices, for each t
.
References
Aielli GP (2013).
“Dynamic conditional correlation: on properties and estimation.”
Journal of Business & Economic Statistics, 31(3), 282–299.
doi:10.1080/07350015.2013.771027.
Engle R (2002).
“Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models.”
Journal of Business & Economic Statistics, 20(3), 339–350.
doi:10.1198/073500102288618487.