Summarize DCC(1,1) Estimation Results — dcc11_estimation_summary • tsbs

Summarize DCC(1,1) Estimation Results

Usage

dcc11_estimation_summary(
  params,
  std_resid,
  weights,
  Qbar,
  distribution = "mvn",
  use_reparam = FALSE,
  level = 0.95,
  method = c("hessian", "sandwich")
)

Arguments

params: MLE estimates
std_resid: Standardized residuals
weights: Observation weights
Qbar: Unconditional covariance
distribution: "mvn" or "mvt"
use_reparam: Logical
level: Confidence level (default 0.95)
method: SE method: "hessian" or "sandwich"

Value

List of class "dcc11_summary"