Displaying 3 results from an estimated 3 matches for "dccresults".
2011 May 15
4
DCC-GARCH model
...)
T = length(y[,1])
library(ccgarch)
library(fGarch)
f1 = garchFit(~ garch(1,1), data=y[,1],include.mean=FALSE)
f1 = f1@fit$coef
f2 = garchFit(~ garch(1,1), data=y[,2],include.mean=FALSE)
f2 = f2@fit$coef
a = c(f1[1], f2[1])
A = diag(c(f1[2],f2[2]))
B = diag(c(f1[3], f2[3]))
dccpara = c(0.2,0.6)
dccresults = dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dccpara,dvar=y,
model="diagonal")
dccresults$out
DCCrho = dccresults$DCC[,2]
matplot(DCCrho, type='l')
dccresults$out deliver me the estimated coefficients of the DCC-GARCH model.
And here is my first question:
How can I check if...
2011 May 12
2
DCC-GARCH model and AR(1)-GARCH(1,1) regression model
...length(y[,1])
library(ccgarch)
library(fGarch)
f1 = garchFit(~ garch(1,1), data=y[,1],include.mean=FALSE)
f1 = f1 at fit$coef
f2 = garchFit(~ garch(1,1), data=y[,2],include.mean=FALSE)
f2 = f2 at fit$coef
a = c(f1[1], f2[1])
A = diag(c(f1[2],f2[2]))
B = diag(c(f1[3], f2[3]))
dccpara = c(0.2,0.6)
dccresults = dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dccpara,dvar=y,
model="diagonal")
dccresults$out
DCCrho = dccresults$DCC[,2]
matplot(DCCrho, type='l')
dccresults$out deliver me the estimated coefficients of the DCC-GARCH model.
And here is my first question:
How can I check if...
2011 May 10
0
DCC-GARCH model and AR(1)-GARCH(1, 1) regression model - help needed..
...)
T = length(y[,1])
library(ccgarch)
library(fGarch)
f1 = garchFit(~ garch(1,1), data=y[,1],include.mean=FALSE)
f1 = f1@fit$coef
f2 = garchFit(~ garch(1,1), data=y[,2],include.mean=FALSE)
f2 = f2@fit$coef
a = c(f1[1], f2[1])
A = diag(c(f1[2],f2[2]))
B = diag(c(f1[3], f2[3]))
dccpara = c(0.2,0.6)
dccresults = dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dccpara,dvar=y,
model="diagonal")
dccresults$out
DCCrho = dccresults$DCC[,2]
matplot(DCCrho, type='l')
dccresults$out deliver me the estimated coefficients of the DCC-GARCH model.
And here is my first question:
How can I check if...