Hi Marcin, I do not think you can just ignore the past period's estimate (or I misunderstood your statement?)(M)GARCH estimation is essentially an iterative procedure, therefore you need to have something as the starting value.
Thanks, _____________________________________________________ Arun Kumar Saha, FRM QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST Visit me at: http://in.linkedin.com/in/ArunFRM _____________________________________________________ -- View this message in context: http://r.789695.n4.nabble.com/About-DCC-garch-model-tp3579140p3581242.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
