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multidim
2018 May 22
0
DCC model simulation in R
...rm",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
# store covariance matrix
COV<-matrix(rcov(fitADCC)[1,2,]) # COV contains 2345 obs
# simulate the model
# given positive shocks in preZ...