Displaying 5 results from an estimated 5 matches for "inib".
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inb
2011 May 15
4
DCC-GARCH model
...y(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$out deliver me the estimated coefficients of the DCC-GARCH model.
And here is my first question:
How can I check if these coefficients are significant or...
2012 Oct 13
1
DCC help
...attach(dataset);
vardata=data.frame(dataset[,2],dataset[,4])
### DCC ###
#initial values
a1 <- c(0.003, 0.001, 0.001)
A1 <- diag(c(0.1,0.1,0.1))
B1 <- diag(c(0.1, 0.1, 0.1))
dcc.para <- c(0.01,0.98)
# Estimating a DCC-GARCH(1,1) model
dcc.results <- dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dcc.para,
dvar=vardata, model="diagonal")
# Parameter estimates and their robust standard errors
dcc.results$out
DCC_corr<-dcc.results$DCC[,2]
plot(DCC_corr)
this gives me the output results and a plot.
the questions i have are
1. how do i get a plot with lines instead...
2011 May 12
2
DCC-GARCH model and AR(1)-GARCH(1,1) regression model
...ch)
f1 = garchFit(~ garch(1,1), data=y[,1],include.mean=FALSE)
f1 = f1 at fit$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 these coefficients are significant or...
2011 Jul 19
0
Questions about DCC-GARCH Model
Dear list members,
I'm trying to use DCC-GARCH model to estimate the correlation. I have
downloeaded ccgarch packeage but can't understand some argument in the
formula.
dcc.estimation(inia, iniA, iniB, ini.dcc, dvar, model, method="BFGS",
gradient=1, message=1)
which is on R.Help
I understand others except "ini.dcc" which is described as "a vector of
initial values for the DCC parameters (2 ? 1)".
Does anyone know that?
In the example it is set as c(0.01,0.98), but...
2011 May 10
0
DCC-GARCH model and AR(1)-GARCH(1, 1) regression model - help needed..
...y(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 these coefficients are significant or...