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

Amit Mittal pro|@@m|t@m|tt@| @end|ng |rom gm@||@com
Fri Mar 1 19:50:22 CET 2019


It is explicitly mentioned in the documentation that the dccfit works only for one lag. It is able to manage multiple markets because it works with this limitation. Tis limitation works beautifully to get large datasets reproducible and effective analysis and additional gains I feel may be unwieldy and minimal with out this restriction and need not be prioritized

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From: Josh Segal
Sent: 01 March 2019 23:23
To: r-sig-finance using r-project.org
Subject: [R-SIG-Finance] Question on rmgarch - dccspec

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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