Displaying 2 results from an estimated 2 matches for "step11".
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step1
2011 May 12
2
DCC-GARCH model and AR(1)-GARCH(1,1) regression model
...to be done in two steps:
1) estimate the AR parameters
2) estimate the GARCH part of the model on the residuals from the AR model
And this would be my rather poor idea of how to do it...
library(timeSeries)
library(fSeries)
step1 = arma(DCCrho, order = c(1,0), include.intercept = TRUE)
step1$res
step11 = na.remove(step1$res)
step2 = garch (step11, order = c(1,1), include.intercept = TRUE)
To be honest I have no clue how to do it. I don't even now why do I get a
missing value as a result of step1 (step1$res[1]) and how to account for it?
Above, I just removed it but then I have a smaller num...
2011 May 10
0
DCC-GARCH model and AR(1)-GARCH(1, 1) regression model - help needed..
...to be done in two steps:
1) estimate the AR parameters
2) estimate the GARCH part of the model on the residuals from the AR model
And this would be my rather poor idea of how to do it...
library(timeSeries)
library(fSeries)
step1 = arma(DCCrho, order = c(1,0), include.intercept = TRUE)
step1$res
step11 = na.remove(step1$res)
step2 = garch (step11, order = c(1,1), include.intercept = TRUE)
To be honest I have no clue how to do it. I don't even now why do I get a
missing value as a result of step1 (step1$res[1]) and how to account for it?
Above, I just removed it but then I have a smaller num...