[R] Questions about DCC-GARCH Model
1987.zhangxi at gmail.com
Tue Jul 19 21:37:07 CEST 2011
Dear list members,
I'm trying to use DCC-GARCH model to estimate the correlation. I have
downloeaded ccgarch packeage but can't understand some argument in the
dcc.estimation(inia, iniA, iniB, ini.dcc, dvar, model, method="BFGS",
which is on R.Help
I understand others except "ini.dcc" which is described as "a vector of
initial values for the DCC parameters (2 × 1)".
Does anyone know that？
In the example it is set as c(0.01,0.98), but i have no idea where the
numbers come from.
Another question is how to estimate DCC of known structural break. Let's
say, we have already known the break point A and establish a restricted
model.Use this model to estimate DCC. Then do likelihood test with
unrestricted model( no structural break) to see if it is significant. But I
have no idea how to establish the restricted model. I know in the restricted
model, I have to use different rho,(use rho(1~A) and rho(A~n) instead of
rho(1~), but how to identify this difference in R ?
I can't do it by myself. Does anyone have any idea? I appreciate it!
Thank you in advance!
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