DCC(1,1) GARCH front-end

Delegates to morie_dcc_multivariate_garch, which holds the two-step Gaussian MLE; this alias exists under the historical short name so the three language arms expose the same pair of entry points.

Usage

morie_dcc_garch(x)

Arguments

x

Multivariate return matrix, n >= 30 rows, k >= 2 columns.

Value

Whatever morie_dcc_multivariate_garch returns.

Details

Mirrors morie.fn.dccgrch.

References

Engle, R. F. (2002). Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. JBES, 20(3), 339-350.

Examples

# \donttest{
set.seed(1)
morie_dcc_garch(matrix(rnorm(200), ncol = 2))$a
#> [1] 1e-06
# }