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

[Josh Segal]

Thanks, Alexios

Amit, I don't see that in the documentation, where are you looking?  I do
see examples in rmgarch.tests with dcc and lag > 1.

On Fri, Mar 1, 2019 at 1:59 PM Alexios Ghalanos <alexios using 4dscape.com> wrote:

> 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
> >
> >
> >
> >
> >
> >
> > Please request Skype as available
> > 5th Year FPM (Ph.D.) in Finance and Accounting Area
> > Indian Institute of Management, Lucknow, (U.P.) 226013 India
> > http://bit.ly/2A2PhD
> > AEA Job profile : http://bit.ly/AEAamit
> > FMA 2 page profile : http://bit.ly/FMApdf2p
> > SSRN top10% downloaded since July 2017: http://ssrn.com/author=2665511
> >
> > 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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> >
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>

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