[R] [r] How to obtain the correlation coefficients between two variables in the R object
Subhamitra Patra
@ubh@m|tr@@p@tr@ @end|ng |rom gm@||@com
Mon Nov 25 11:34:30 CET 2019
Dear R-users,
I am estimating the DCC-model by using the following code and successfully
making the individual plots indicating the dynamic correlation between the
two variables stored in the R data frame (namely dcc.fit in my code). My
code is
Dat = Date2[,2:13, drop = FALSE]
library(rmgarch)
library(rugarch)
xspec = ugarchspec(mean.model = list(armaOrder = c(1, 1)), variance.model =
list(garchOrder = c(1,1), model = 'eGARCH'), distribution.model = 'norm')
uspec = multispec(replicate(12, xspec)) # Define a function using xspec
dcc.garch11spec = dccspec(uspec = uspec, dccOrder = c(1, 1), distribution =
'mvnorm')
dcc.fit = dccfit(dcc.garch11spec, data = Dat)
r1=rcor(dcc.fit, type="R")
print(r1)
Here, I need to obtain the DCC relationship between the two variables. I
successfully make a separate plot for the correlation between the two
variables with the following code.
plot(rcor(dcc.fit, type="R")['A1','A2',], type='l')
plot(rcor(dcc.fit, type="R")['B1','B2',], type='l')
plot(rcor(dcc.fit, type="R")['C1','C2',], type='l')
plot(rcor(dcc.fit, type="R")['D1','D2',], type='l')
plot(rcor(dcc.fit, type="R")['E1','E2',], type='l')
plot(rcor(dcc.fit, type="R")['F1','F2',], type='l')
Here, I request your help on two things which I am unable to do.
1. I need to arrange all the above individual plots (counted as 6) on one
page.
2. I need to obtain the correlation coefficients between the particular two
variables (i.e. A1 versus A2, B1 versus B2, .......so on) throughout the
entire period.
For your convenience, I have attached my sample data.
I definitely expect a positive help from the experts as the suggestions
from the expert through this R forum has always solved my previous problem.
Thank you.
--
*Best Regards,*
*Subhamitra Patra*
*Phd. Research Scholar*
*Department of Humanities and Social Sciences*
*Indian Institute of Technology, Kharagpur*
*INDIA*
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