moving_cov {dccmidas} | R Documentation |
Moving Covariance model
Description
Obtains the matrix H_t, under the Moving Covariance model.
Usage
moving_cov(r_t, V = 22)
Arguments
r_t |
List of daily returns |
V |
Length of the rolling window adopted. By default, V is 22 |
Value
A list with the H_t
matrix, for each t
.
Examples
require(xts)
# close to close daily log-returns
r_t_s<-diff(log(sp500['2010/2019'][,3]))
r_t_s[1]<-0
r_t_n<-diff(log(nasdaq['2010/2019'][,3]))
r_t_n[1]<-0
r_t_f<-diff(log(ftse100['2010/2019'][,3]))
r_t_f[1]<-0
db_m<-merge.xts(r_t_s,r_t_n,r_t_f)
db_m<-db_m[complete.cases(db_m),]
colnames(db_m)<-c("S&P500","NASDAQ","FTSE100")
# list of returns
r_t<-list(db_m[,1],db_m[,2],db_m[,3])
MC<-moving_cov(r_t,V=60)
[Package dccmidas version 0.1.2 Index]