Hello,
I am trying to model a bivariate time series called 'residuals' as a
dcc-garch model.
I want to use the function dcc.estimation(a, A, B dcc.para, dvar, model) out
of the package ccgarch to estimate the parameters.
No matter how I tried to define a, A and B, I always got the message "Error
in constrOptim(theta = para, f = loglik.dcc2, gr = grad.dcc2, ui = resta, :
initial value not feasible".
As my knowledge about GARCH is rather poor, I might have defined some input
values in an incorrect way.
E.g. this is a part of my code:
a <- rep(0,2)
A <- diag(2)
B <- diag(2)
dcc.para <- rep(0,2)
dvar <- residuals
model <- 'diagonal'
dcc.estimation(a, A, B, dcc.para, dvar, model)
I would be very grateful if someone could help!
Thanks a lot!
[[alternative HTML version deleted]]