Type Alias DccForecast

dccForecast's answer: covariance, correlation and each asset's variance, step by step.

type DccForecast = {
    correlation: number[][][];
    covariance: number[][][];
    variance: number[][];
}

Index

Properties

correlation covariance variance

Properties

`Readonly`correlation

correlation: number[][][]

R_{T+1} … R_{T+h}, each N×N.

`Readonly`covariance

covariance: number[][][]

H_{T+1} … H_{T+h}, each N×N.

`Readonly`variance

variance: number[][]

s_{i,T+k} per asset: forecastVariance of each.