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]