factorstochvol: covmat.fsvsim – R documentation

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covmat.fsvsim

Extract "true" model-implied covariance matrix for several points in time

covmat extracts the model-implied (time-varying) covariance matrix from an fsvsim object.

## S3 method for class 'fsvsim'
covmat(x, timepoints = "all", ...)

`x`	Object of class `'fsvsim'`, usually resulting from a call of the function `fsvsim`.
`timepoints`	Vector indicating at which point(s) in time the correlation matrices should be extracted. Can also be "all" or "last".
`...`	Ignored.

Array of dimension m times m times length(timepoints), containing the model-implied covariance matrix.

Currently crudely implemented as an R loop over all time points, may be slow.