[R-SIG-Finance] question on rmgarch

[alexios galanos]

In the case of VAR, the univariate specification for the conditional 
mean should be set to not estimate anything i.e. include.mean=FALSE and 
armaOrder=c(0,0).

Alexios

On 6/7/19 5:34 AM, Leonardo Bargigli wrote:
> Dear all,
> in "dccspec" it's possible to fit a VAR model for the conditional mean
> using the VAR = TRUE keyword.
> My question is: how does this option relates to the conditional mean
> specification that is required from the uGARCHmultispecobject?
> Thanks a lot!
> Leonardo
> (University of Florence)
> 
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