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

[Alexios Ghalanos]

I’ll take a look over the weekend. Thanks for reporting.

Alexios


> On Mar 1, 2019, at 10:50 AM, Amit Mittal <prof.amit.mittal using gmail.com> wrote:
> 
> Josh, 
> 
> 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
> 
> 
> Best Regards
> Amit
> +91 7899381263
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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.
> 
> Thanks,
> Josh
> 
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