R help - Feb 2009 - package ccgarch - dcc.estimation

Hello,

 

I am trying to model a bivariate time series called 'residuals' as a
dcc-garch model.

I want to use the function dcc.estimation(a, A, B dcc.para, dvar, model) to
estimate the parameters.

No matter how I tried to define a, A and B, I always got the message "Error
in constrOptim(theta = para, f = loglik.dcc2, gr = grad.dcc2, ui = resta,  :


  initial value not feasible".

As my knowledge about GARCH is rather poor, I might have defined some input
values in an incorrect way.

E.g. this is a part of my code:

a <- rep(0,2)

A <- diag(2)

B <- diag(2)

dcc.para <- rep(0,2)

dvar <- residuals

model <- 'diagonal'

dcc.estimation(a, A, B, dcc.para, dvar, model)

 

I would be very grateful if someone could help!

Thanks a lot!


	[[alternative HTML version deleted]]

Hello,

 

I am trying to model a bivariate time series called 'residuals' as a
dcc-garch model.

I want to use the function dcc.estimation(a, A, B dcc.para, dvar, model) out
of the package ccgarch to estimate the parameters.

No matter how I tried to define a, A and B, I always got the message "Error
in constrOptim(theta = para, f = loglik.dcc2, gr = grad.dcc2, ui = resta,  :


  initial value not feasible".

As my knowledge about GARCH is rather poor, I might have defined some input
values in an incorrect way.

E.g. this is a part of my code:

a <- rep(0,2)

A <- diag(2)

B <- diag(2)

dcc.para <- rep(0,2)

dvar <- residuals

model <- 'diagonal'

dcc.estimation(a, A, B, dcc.para, dvar, model)

 

I would be very grateful if someone could help!

Thanks a lot!

 


	[[alternative HTML version deleted]]