Hi, everyone, I currently run into a problem about DCC-Garch model. I use the package cc-garch and the function dcc.estimation. One of the output of this function is DCC matrix, which shows conditional correlation matrix at every time period you gives. However, I cannot figue out how the function calculate the conditional correlation matrix at the first time period, since there is no data to be conditioned... How do we usually deal with the first period data of GARCH model? Could anyone suggest any paper about the DCC GARCH model, including how to deal with the first time period data? Thank you all guys in advance!!!!!! -- View this message in context: http://r.789695.n4.nabble.com/About-DCC-garch-model-tp3579140p3579140.html Sent from the R help mailing list archive at Nabble.com.
Dear Windseav, I found that it is quite subjective because the effect of initial value will dilute after couple of time periods, hence whatever value you put there never matters. However I found that common practice is to put the unconditional variance/covariance/correlation for the first period. I can recall (sometimes back I probably checked) that fgarch package (or may be something related, I cant recall now) put average sum-square of the observations as the estimated variance for the 1st period. Thanks, _____________________________________________________ Arun Kumar Saha, FRM QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST Visit me at: http://in.linkedin.com/in/ArunFRM _____________________________________________________ -- View this message in context: http://r.789695.n4.nabble.com/About-DCC-garch-model-tp3579140p3579489.html Sent from the R help mailing list archive at Nabble.com.
Hi, I thought that a common practice is just to ommit the first period data since it does not have much influence on further results / calculations. Cheers Marcin 2011/6/7 windseav <windseav@gmail.com>> Hi, everyone, > > I currently run into a problem about DCC-Garch model. I use the package > cc-garch and the function dcc.estimation. One of the output of this > function > is DCC matrix, which shows conditional correlation matrix at every time > period you gives. However, I cannot figue out how the function calculate > the > conditional correlation matrix at the first time period, since there is no > data to be conditioned... How do we usually deal with the first period data > of GARCH model? Could anyone suggest any paper about the DCC GARCH model, > including how to deal with the first time period data? > > Thank you all guys in advance!!!!!! > > > > -- > View this message in context: > http://r.789695.n4.nabble.com/About-DCC-garch-model-tp3579140p3579140.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >[[alternative HTML version deleted]]