covmat.fsvsim {factorstochvol}

Extract "true" model-implied covariance matrix for several points in time

Description

covmat extracts the model-implied (time-varying) covariance matrix from an fsvsim object.

Usage

## S3 method for class 'fsvsim'
covmat(x, timepoints = "all", ...)

Arguments

x

Object of class 'fsvsim', usually resulting from a call of the function fsvsim.

timepoints

Vector indicating at which point(s) in time the correlation matrices should be extracted. Can also be "all" or "last".

...

Ignored.

Value

Array of dimension m times m times length(timepoints), containing the model-implied covariance matrix.

Note

Currently crudely implemented as an R loop over all time points, may be slow.

See Also

Other simulation: corelement(), cormat.fsvsim(), covelement()