sBEKK_mat_est {dccmidas} | R Documentation |
sBEKK covariance matrix
Description
Obtains the conditional covariance matrix from the scalar BEKK model.
Usage
sBEKK_mat_est(param, ret)
Arguments
param |
Vector of starting values. |
ret |
Txk matrix of daily returns. At the moment, k can be at most 5 |
Value
The resulting vector is the log-likelihood value for each t
.
References
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[Package dccmidas version 0.1.2 Index]