Given simulated returns and known GARCH parameters, compute
the standardized residuals needed for DCC estimation.
Usage
compute_std_residuals(y, omega, alpha_garch, beta_garch)
Arguments
- y
T x k matrix of simulated returns
- omega
Vector of GARCH omega parameters (length k)
- alpha_garch
Vector of GARCH alpha parameters (length k)
- beta_garch
Vector of GARCH beta parameters (length k)
Value
T x k matrix of standardized residuals
