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

[Amit Mittal]

Sure, As Alexios said he is looking into it. 

I can confirm that my project would not gain additionally from additional lags materially. It is across 10 financial markets using 10 years data and 1 lag gives robust effective results from dccfit (up to 4 markets at one time) I can’t find that information. now. There are only three dcc documents reliable. One is Zivot’s presentation on using it, others can be checked on bit or cran


Best Regards
Amit
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From: Josh Segal
Sent: 02 March 2019 01:05
To: Alexios Ghalanos
Cc: Amit Mittal; r-sig-finance using r-project.org
Subject: Re: [R-SIG-Finance] Question on rmgarch - dccspec

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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