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2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...00 0.000 0.0000
> garch11.spec = ugarchspec(mean.model = list(armaOrder = c(1,1)),
variance.model = list(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.ah...
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...00 0.000 0.0000
> garch11.spec = ugarchspec(mean.model = list(armaOrder = c(1,1)),
variance.model = list(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.ah...
2018 May 22
0
DCC model simulation in R
...cify univariate egarch model
uspec<-ugarchspec(variance.model=list(model="eGARCH",garchOrder=c(1,1)),
distribution.model="norm",mean.model=list(armaOrder=c(0,0),include.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...