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]