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 )
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