Thank you all guys!! I have some other questions....For garch model, for example, we have 10 time periods, and the function use MLE to get the parameters based on these 10 time periods. Then, the function calculates covariance matrix at each time period based on the estimated parameters. Is this right??
Moreover, does anyone know that whether the correlation matrix calculated by GARCH model is semidefinite positive? Thanks a lot!!! -- View this message in context: http://r.789695.n4.nabble.com/About-DCC-garch-model-tp3579140p3581851.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.
