Displaying 3 results from an estimated 3 matches for "dccfit".
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2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...st(garchOrder = c(1,1),
model = "sGARCH"),
distribution.model = "norm")
> dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec)
),
dccOrder = c(1,1), distribution = "mvnorm")
> fit.a = dccfit(dcc.garch11.spec, data = datax[,c(2,3)], out.sample = 500,
fit.control = list(eval.se=T))
> dcc.focast=dccforecast(fit.a, n.ahead = 1, n.roll = 499)
May I know how to get the forecast values from 'dcc.focast' ? I have given
500 as n.roll in rolling forecast...
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...st(garchOrder = c(1,1),
model = "sGARCH"),
distribution.model = "norm")
> dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec)
),
dccOrder = c(1,1), distribution = "mvnorm")
> fit.a = dccfit(dcc.garch11.spec, data = datax[,c(2,3)], out.sample = 100,
fit.control = list(eval.se=T))
> dcc.focast=dccforecast(fit.a, n.ahead = 100)
May I know how to get the forecast values from 'dcc.focast' ? when i plot
the model using,
> plot(dcc.focast, which =...
2018 May 22
0
DCC model simulation in R
...de.mean=F))
model=multispec(replicate(2,uspec)) # replicate for two series
# specify ADCC model
mvspec=dccspec(model,dccOrder = c(1,1),model = "aDCC",distribution =
"mvnorm")
# cluster
cl= makePSOCKcluster(2)
multf = multifit(model, Data, cluster = cl)
fitADCC=dccfit(mvspec,data = Data, fit = multf, cluster = cl)
ADCC<-print(fitADCC)
stopCluster(cl) # stop cluster
# store covariance matrix
COV<-matrix(rcov(fitADCC)[1,2,]) # COV contains 2345 obs
# simulate the model
# given positive shocks in preZ
sim<-dccsim(ADCC, n.sim =2345,n.start =1...