[R-SIG-Finance] rugarch robust covariance matrix definition

[Curtis Miller]

Hello all,

I have a question about the robust standard errors computed by rugarch.

Assume that an rugarch fit was computed and stored in fit, and that the 
covariance matrix was extracted via vcov(fit, robust = TRUE); call this 
V. Then suppose we get the Hessian matrix via fit at fit$hessian; call this H.

In fGarch standard errors were computed using the Eicker-White sandwich 
estimator, V = H^{-1} G^T G H^{-1}. I am particularly interesting in 
extracting G^T G, if not G itself. (I have my reasons.) It is possible 
to solve this equation: H V H = G^T G.

What I want to know is if vcov(fit, robust = TRUE) returns this sandwich 
estimator, like in fGarch; the documentation does not say how the robust 
standard errors are computed.

If this is not the case, anyone know how to get G?

Curtis