CCCgarch.MM: compute comoments for use by lower level optimization functions when the conditional covariance matrix is a CCC GARCH model
Description
it first estimates the conditional GARCH variances, then filters out the
time-varying volatility and estimates the higher order comoments on the innovations
rescaled such that their unconditional covariance matrix is the conditional covariance matrix forecast
Usage
CCCgarch.MM(R, momentargs = NULL, ...)
Arguments
R
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
momentargs
list containing arguments to be passed down to lower level functions, default NULL