Displaying 1 result from an estimated 1 matches for "sim1_cov".
2018 May 22
0
DCC model simulation in R
...uot;,preZ = 0.7131)
# extract covariance
sim_cov<-as.matrix(rcov(sim)[1,2,])
# # to specify negative shocks I put a minus sign before 0.7131 in preZ
sim1<-dccsim(ADCC, n.sim =2345,n.start =100 , m.sim = 1, startMethod =
"unconditional",preZ = - 0.7131)
# extract covariance
sim1_cov<-as.matrix(rcov(sim)[1,2,])
Please feel free to reply that this approach is correct to proceed. Thanks.
Best regards,
sultan
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