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dccm
2018 May 22
0
DCC model simulation in R
...o know that impulse response function (IRF) or
volatility IRF is not compatible for any asymmetric models, therefore, the
only way to introduce shocks into the ADCC model can be through simulation
given the parameters.
For the purpose of introducing shocks and simulating the model, I intend to
use dccsim function for simulating the model given the shocks in preZ
(standardized residuals specified by the user) argument. I am not sure
whether this dccsim function actually does what I intend to do. Therefore,
I would like to have your helpful suggestion regarding the use of dccsim
function in this purp...