R help - Nov 2019 - How to obtain the correlation coefficients between two variables in the R object

Dear R-users,

I am estimating the DCC-model by using the following code and successfully
making the individual plots indicating the dynamic correlation between the
two variables stored in the R data frame (namely dcc.fit in my code). My
code is

Dat = Date2[,2:13, drop = FALSE]
library(rmgarch)
library(rugarch)
xspec = ugarchspec(mean.model = list(armaOrder = c(1, 1)), variance.model
list(garchOrder = c(1,1), model = 'eGARCH'), distribution.model =
'norm')
uspec = multispec(replicate(12, xspec)) # Define a function using xspec
dcc.garch11spec = dccspec(uspec = uspec, dccOrder = c(1, 1), distribution
'mvnorm')
dcc.fit = dccfit(dcc.garch11spec, data = Dat)
r1=rcor(dcc.fit, type="R")
print(r1)

Here, I need to obtain the DCC relationship between the two variables. I
successfully make a separate plot for the correlation between the two
variables with the following code.
plot(rcor(dcc.fit, type="R")['A1','A2',],
type='l')
plot(rcor(dcc.fit, type="R")['B1','B2',],
type='l')
plot(rcor(dcc.fit, type="R")['C1','C2',],
type='l')
plot(rcor(dcc.fit, type="R")['D1','D2',],
type='l')
plot(rcor(dcc.fit, type="R")['E1','E2',],
type='l')
plot(rcor(dcc.fit, type="R")['F1','F2',],
type='l')

Here, I request your help on two things which I am unable to do.

1. I need to arrange all the above individual plots (counted as 6) on one
page.
2. I need to obtain the correlation coefficients between the particular two
variables (i.e. A1 versus A2, B1 versus B2, .......so on) throughout the
entire period.

For your convenience, I have attached my sample data.

I definitely expect a positive help from the experts as the suggestions
from the expert through this R forum has always solved my previous problem.

Thank you.

-- 
*Best Regards,*
*Subhamitra Patra*
*Phd. Research Scholar*
*Department of Humanities and Social Sciences*
*Indian Institute of Technology, Kharagpur*
*INDIA*

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11/25/19,
04:00:39 PM

To get multiple plots on the same physical page try
?layout
ot look through the various option under
?par

I do not know enough about DCC models to answer how you get correlations.

Michael

On 25/11/2019 10:34, Subhamitra Patra wrote:
> Dear R-users,
> 
> I am estimating the DCC-model by using the following code and successfully
> making the individual plots indicating the dynamic correlation between the
> two variables stored in the R data frame (namely dcc.fit in my code). My
> code is
> 
> Dat = Date2[,2:13, drop = FALSE]
> library(rmgarch)
> library(rugarch)
> xspec = ugarchspec(mean.model = list(armaOrder = c(1, 1)), variance.model
> list(garchOrder = c(1,1), model = 'eGARCH'), distribution.model =
'norm')
> uspec = multispec(replicate(12, xspec)) # Define a function using xspec
> dcc.garch11spec = dccspec(uspec = uspec, dccOrder = c(1, 1), distribution
> 'mvnorm')
> dcc.fit = dccfit(dcc.garch11spec, data = Dat)
> r1=rcor(dcc.fit, type="R")
> print(r1)
> 
> Here, I need to obtain the DCC relationship between the two variables. I
> successfully make a separate plot for the correlation between the two
> variables with the following code.
> plot(rcor(dcc.fit, type="R")['A1','A2',],
type='l')
> plot(rcor(dcc.fit, type="R")['B1','B2',],
type='l')
> plot(rcor(dcc.fit, type="R")['C1','C2',],
type='l')
> plot(rcor(dcc.fit, type="R")['D1','D2',],
type='l')
> plot(rcor(dcc.fit, type="R")['E1','E2',],
type='l')
> plot(rcor(dcc.fit, type="R")['F1','F2',],
type='l')
> 
> Here, I request your help on two things which I am unable to do.
> 
> 1. I need to arrange all the above individual plots (counted as 6) on one
> page.
> 2. I need to obtain the correlation coefficients between the particular two
> variables (i.e. A1 versus A2, B1 versus B2, .......so on) throughout the
> entire period.
> 
> For your convenience, I have attached my sample data.
> 
> I definitely expect a positive help from the experts as the suggestions
> from the expert through this R forum has always solved my previous problem.
> 
> Thank you.
> 
-- 
Michael
http://www.dewey.myzen.co.uk/home.html

Thank you for your suggestion. Actually, the correlation is coming in the
DCC model through my above code which I am able to plot it. Is there any
solution that I can extract data from a particular plot. Actually, I am
able to obtain the correlation matrix, but I need the correlation
coefficient series indicating the correlation coefficients between the two
variables.



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11/25/19,
07:12:49 PM

On Mon, Nov 25, 2019 at 7:10 PM Michael Dewey <lists at dewey.myzen.co.uk>
wrote:
> To get multiple plots on the same physical page try
> ?layout
> ot look through the various option under
> ?par
>
> I do not know enough about DCC models to answer how you get correlations.
>
> Michael
>
> On 25/11/2019 10:34, Subhamitra Patra wrote:
> > Dear R-users,
> >
> > I am estimating the DCC-model by using the following code and
> successfully
> > making the individual plots indicating the dynamic correlation between
> the
> > two variables stored in the R data frame (namely dcc.fit in my code).
My
> > code is
> >
> > Dat = Date2[,2:13, drop = FALSE]
> > library(rmgarch)
> > library(rugarch)
> > xspec = ugarchspec(mean.model = list(armaOrder = c(1, 1)),
> variance.model > > list(garchOrder = c(1,1), model =
'eGARCH'), distribution.model = 'norm')
> > uspec = multispec(replicate(12, xspec)) # Define a function using
xspec
> > dcc.garch11spec = dccspec(uspec = uspec, dccOrder = c(1, 1),
> distribution > > 'mvnorm')
> > dcc.fit = dccfit(dcc.garch11spec, data = Dat)
> > r1=rcor(dcc.fit, type="R")
> > print(r1)
> >
> > Here, I need to obtain the DCC relationship between the two variables.
I
> > successfully make a separate plot for the correlation between the two
> > variables with the following code.
> > plot(rcor(dcc.fit, type="R")['A1','A2',],
type='l')
> > plot(rcor(dcc.fit, type="R")['B1','B2',],
type='l')
> > plot(rcor(dcc.fit, type="R")['C1','C2',],
type='l')
> > plot(rcor(dcc.fit, type="R")['D1','D2',],
type='l')
> > plot(rcor(dcc.fit, type="R")['E1','E2',],
type='l')
> > plot(rcor(dcc.fit, type="R")['F1','F2',],
type='l')
> >
> > Here, I request your help on two things which I am unable to do.
> >
> > 1. I need to arrange all the above individual plots (counted as 6) on
one
> > page.
> > 2. I need to obtain the correlation coefficients between the
particular
> two
> > variables (i.e. A1 versus A2, B1 versus B2, .......so on) throughout
the
> > entire period.
> >
> > For your convenience, I have attached my sample data.
> >
> > I definitely expect a positive help from the experts as the
suggestions
> > from the expert through this R forum has always solved my previous
> problem.
> >
> > Thank you.
> >
>
> --
> Michael
> http://www.dewey.myzen.co.uk/home.html
>

-- 
*Best Regards,*
*Subhamitra Patra*
*Phd. Research Scholar*
*Department of Humanities and Social Sciences*
*Indian Institute of Technology, Kharagpur*
*INDIA*

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