| riskmetrics_mat {dccmidas} | R Documentation |
RiskMetrics model
Description
Obtains the matrix H_t, under the RiskMetrics model.
Usage
riskmetrics_mat(r_t, lambda = 0.94)
Arguments
r_t |
List of daily returns |
lambda |
optional Decay parameter. Default to 0.94 |
Value
A list with the H_t matrix, for each t.
[Package dccmidas version 0.1.2 Index]