vcov.tsmarch function

The Covariance Matrix of the Estimated Parameters

## S3 method for class 'cgarch.estimate'
vcov(object, adjust = FALSE, type = c("H", "OP", "QMLE", "NW"), ...)

## S3 method for class 'dcc.estimate'
vcov(object, adjust = FALSE, type = c("H", "OP", "QMLE", "NW"), ...)

Arguments

• object: an object of class cgarch.estimate or dcc.estimate .

• adjust: logical. Should a finite sample adjustment be made? This amounts to multiplication with n/(n-k) where n is the number of observations and k the number of estimated parameters.

• type: valid choices are H for using the numerical hessian for the bread, OP for the outer product of gradients, QMLE

  for the Quasi-ML sandwich estimator (Huber-White), and NW for the Newey-West adjusted sandwich estimator (a HAC estimator).

• ...: additional parameters passed to the Newey-West bandwidth function to determine the optimal lags.

Returns

The variance-covariance matrix of the estimated parameters.