[R-SIG-Finance] rmgarch arguments

[alexios ghalanos]

Mamush,

The dccOrder is simply the autoregressive order of the DCC model (I 
though it was self explanatory). If you are unsure about DCC models,
the help (?dccspec) contains a list of references to the relevant 
literature which you might like to consult.

Regards,
Alexios


On 13/03/2012 12:30, mamush bukana wrote:
> Dear all,
> As a beginner to R, specially to rmgarch package, I have been struggling to
> understand what the arguments in "dccspec", "dccfit", "dccforecast" and
>   "dccsim" functions are for. Thanks to Alexios and the "help()" in R, I am
> getting used to some of them.
> But still I can't understand what the "dccOrder" argument in the "dccspec"
> function is for? May one explain this for me please?
>
> My objective is to estimate and simulate a VAR(2) model allowing for GARCH
> effect in its innovations:
> X_t =A1*X_{t-1} + A2*X_{t-2} + error.
>
>
>
>
> Thanks
> Mamush
>
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>
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