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 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 Ku
Hi,
I thought that a common practice is just to ommit the first period data
since it does not have much influence on further results / calculations.
Cheers
Marcin
2011/6/7 windseav
> Hi, everyone,
>
> I currently run into a problem about DCC-Garch model. I use the package
> cc-garch and the f
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...
Dear Windseav, I found that it is quite subjective because the effect of
initial value will dilute after couple of time periods, hence whatever value
you put there never matters. However I found that common practice is to put
the unconditional variance/covariance/correlation for the first period. I
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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