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 <windseav@gmail.com>

> 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 calculate
> the
> conditional correlation matrix at the first time period, since there is no
> data to be conditioned... How do we usually deal with the first period data
> of GARCH model? Could anyone suggest any paper about the DCC GARCH model,
> including how to deal with the first time period data?
>
> Thank you all guys in advance!!!!!!
>
>
>
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