Displaying 1 result from an estimated 1 matches for "fitadcc".
2018 May 22
0
DCC model simulation in R
...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
# 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.s...