[R-SIG-Finance] Question RMGARCH

alexios alexios at 4dscape.com
Mon Jun 29 21:38:05 CEST 2015

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.


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 )

More information about the R-SIG-Finance mailing list