Thank you all guys!!
I have some other questionsFor 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 r
Hi Arun, thank you so much for your reply.
I have tried to use cor() function in R to calculate the unconditional
correlation matrix of my time series, but it is not the same as the
calculated first period Dynamic Conditional Correlation matrix by the
function dcc.estimation...I don't know why...
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
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