vcov.tsgarch.estimate {tsgarch}

The Covariance Matrix of the Estimated Parameters

Description

The Covariance Matrix of the Estimated Parameters

Usage

## S3 method for class 'tsgarch.estimate'
vcov(object, adjust = FALSE, type = c("H", "OP", "QMLE", "NW"), ...)

Arguments

object

an object of class tsgarch.estimate.

adjust

logical. Should a finite sample adjustment be made? This amounts to multiplication with n/(n-k) where n is the number of observations and k the number of estimated parameters.

type

valid choices are “H” for using the analytic hessian for the bread, “OP” for the outer product of gradients, “QMLE” for the Quasi-ML sandwich estimator (Huber-White), and “NW” for the Newey-West adjusted sandwich estimator (a HAC estimator).

...

additional parameters passed to the Newey-West bandwidth function to determine the optimal lags.

Value

The variance-covariance matrix of the estimated parameters.