a_dccmidas_mat_est {dccmidas}R Documentation

Obtains the matrix H_t, R_t and long-run correlations, under the A-DCC-MIDAS model

Description

Obtains the matrix H_t, R_t and long-run correlations, under the A-DCC-MIDAS model For details, see Colacito et al. (2011) and Engle (2002).

Usage

a_dccmidas_mat_est(est_param, res, Dt, lag_fun = "Beta", N_c, K_c)

Arguments

est_param

Vector of estimated values

res

Array of standardized daily returns, coming from the first step estimation

Dt

Matrix of conditional standard deviations (coming from the first step)

lag_fun

optional. Lag function to use. Valid choices are "Beta" (by default) and "Almon", for the Beta and Exponential Almon lag functions, respectively

N_c

Number of (lagged) realizations to use for the standarized residuals forming the long-run correlation

K_c

Number of (lagged) realizations to use for the long-run correlation

Value

A list with the H_t, R_t and long-run correlaton matrices, for each t.

References

Colacito R, Engle RF, Ghysels E (2011). “A component model for dynamic correlations.” Journal of Econometrics, 164(1), 45–59. doi:10.1016/j.jeconom.2011.02.013.

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.


[Package dccmidas version 0.1.2 Index]