[R-SIG-Finance] Question RMGARCH

[alexios]

Returns the diagonal factor covariance matrix (i.e. the conditional 
variances of the independent factors). The H_t matrix in equation 33 of 
the vignette.

-Alexios

On 29/06/2015 20:31, Daniel Melendez wrote:
> Hello All -
>
> Perhaps I am overlooking something but can anyone tell me what the
> following relates to in the rmgarch package?
>
> rcov( [object], type = 2 )
>