[R-SIG-Finance] rmgarch arguments

junluke junluke at gmail.com
Wed May 16 05:42:54 CEST 2012


Hi, all, 

I am doing some simulation studies using rmgarch package. I am using the
"dccfit" to estimate the dynamic conditional correlation. 

After each estimation, the "dccfit" gives me the following messages:

Iter: 1 fn: 185.1321     Pars:  0.008106 0.871192
Iter: 2 fn: 185.1321     Pars:  0.008106 0.871190
solnp--> Completed in 2 iterations

I was wondering how to turn off this message in the "dccfit" function. Here
is my code:

uspec = ugarchspec(variance.model = list(garchOrder = c(1,1), model =
"sGARCH"),
   distribution.model = "norm")
spec1 = dccspec(uspec = multispec( replicate(2, uspec) ), dccOrder = c(1,1),
   asymmetric = FALSE, distribution = "mvnorm")
fit1 = dccfit(spec1, data = return[2:n,], fit.control = list(eval.se=FALSE))
rc1=rcor(fit1)

Many thanks!

Jun

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