[R-SIG-Finance] how to test significance of VAR coefficients in DCC GARCH Fit

[Arun.stat]

The estimates of the VAR parameters and the Garch parameters are
asymptotically independent. Therefore you first fit the VAR parameters are
then fit the Garch model on the residuals (if there any Arch Effect at all).
Therefore, you can get all asymptotic parameter estimates result from
appropriate VAR fitting tool (there are lot of available with R.)

HTH

Thanks and regards,

_____________________________________________________

Arun Kumar Saha, FRM
QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST
Visit me at: http://in.linkedin.com/in/ArunFRM
_____________________________________________________

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