dccObj {tvgarch}

Auxiliary functions

Description

Auxiliary functions used in the estimation of the multivariate TV(s)-GARCH(p,q,r)-X model. Not intended for the average user.

Usage

  dccObj(par.dcc, z, sigma2, flag)

Arguments

par.dcc

numeric vector containing the ARCH- and GARCH-type coefficients in the dynamic conditional correlations.

z

matrix of standardized residuals.

sigma2

matrix of conditional variances.

flag

integer. If 0, returns a numeric vector with the values of the objective function; if 1 returns the the value of the objective function; if 2, returns the fitted variance components.

Value

The values of the objective function or fitted dynamic conditional correlations.

Author(s)

Susana Campos-Martins

References

Susana Campos-Martins and Genaro Sucarrat (2024) Modeling Nonstationary Financial Volatility with the R Package tvgarch, Journal of Statistical Software 108, 1-38.

Robert F. Engle (2002) Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business and Economic Statistics 20, 339-350.

See Also

mtvgarch, fitted.mtvgarch, residuals.mtvgarch