Robust CGARCH Standard Errors with Edge Case Handling — compute_cgarch_standard_errors_robust • tsbs

High-level wrapper for CGARCH SE computation with handling for boundary estimates and degenerate cases.

Usage

compute_cgarch_standard_errors_robust(
  cgarch_result,
  z_matrix,
  weights,
  Qbar,
  copula_dist = "mvn",
  boundary_threshold = 1e-04,
  method = c("hessian", "sandwich")
)

Arguments

cgarch_result: Result from estimate_garch_weighted_cgarch() or similar
z_matrix: Copula residuals (T x k)
weights: Observation weights
Qbar: Unconditional covariance
copula_dist: "mvn" or "mvt"
boundary_threshold: Threshold for boundary detection
method: "hessian" or "sandwich"

Value

List with SE results and validity flags