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sim1_cov
2018 May 22
0
DCC model simulation in R
...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.start =100 , m.sim = 1, startMethod =
"unconditional",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,])
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