[R] DCC help

[australiastudent]

hi all,

i am using a dcc model for my senior thesis, it looks at stock returns
during times of market uncertainty.

my current rfile is below.

library(SparseM)
library(quantreg)
library(zoo)
library(nortest)
library(MASS)
library(fEcofin)
library(mvtnorm)
library(ccgarch)
library(stats)
library(foreign)

#dataset<-read.csv(file="xxxx",header=FALSE)
attach(dataset);

vardata=data.frame(dataset[,2],dataset[,4])

### DCC ###

#initial values
a1 <- c(0.003, 0.001, 0.001)
A1 <- diag(c(0.1,0.1,0.1))
B1 <- diag(c(0.1, 0.1, 0.1))
dcc.para <- c(0.01,0.98)

# Estimating a DCC-GARCH(1,1) model
dcc.results <- dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dcc.para,
dvar=vardata, model="diagonal")
# Parameter estimates and their robust standard errors
dcc.results$out

DCC_corr<-dcc.results$DCC[,2]

plot(DCC_corr)

this gives me the output results and a plot.

the questions i have are

1. how do i get a plot with lines instead of dots

2. in my file i have two types of dummy variables - the first are quantiles
where it is 1 if stock returns are in the lowest 5% quantile and the second
dummy variable are specific events in the world economy where it is 1 if the
stock return for that day happens to lie within the date range i specified
for each event.

i have fun the dcc without my dummy variables, but how can i incorporate my
dummies into my results as i cannot find a user guide to help me

any help would be greatly appreciated!

thank you all!



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