Hi, everyone, I currently run into a problem about DCC-Garch model. I use the package cc-garch and the function dcc.estimation. One of the output of this function is DCC matrix, which shows conditional correlation matrix at every time period you gives. However, I cannot figue out how the function calculate the conditional correlation matrix at the first time period, since there is no data to be conditioned... How do we usually deal with the first period data of GARCH model? Could anyone suggest any paper about the DCC GARCH model, including how to deal with the first time period data?
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