[R-SIG-Finance] Question on rmgarch - dccspec

Josh Segal jo@hu@@@eg@| @end|ng |rom gm@||@com
Fri Mar 1 18:53:07 CET 2019

Hi guys/Alexios,

I'm finding that dccspec ignores the input for lag.max.  Looking at the
code, I see:
if(is.null(lag.max)) VAR.opt$lag.max = NULL else VAR.opt$lag.max =
as.integer(min(1, lag.max))
Why is min taken against 1?  This seems to defeat the purpose.


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