deco_mat_est {dccmidas} | R Documentation |
Obtains the matrix H_t and R_t, under the DECO model
Description
Obtains the matrix H_t and R_t, under the DECO model For details, see Engle and Kelly (2012).
Usage
deco_mat_est(est_param, res, Dt, K_c = NULL)
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
Engle R, Kelly B (2012). “Dynamic equicorrelation.” Journal of Business & Economic Statistics, 30(2), 212–228. doi:10.1080/07350015.2011.652048.
[Package dccmidas version 0.1.2 Index]