[R-SIG-Finance] Fwd: VARMA DCC GARCH with external dummy variable in mean and variance model

[Sania Wadud]

Hi,

I would like to know whether there is any way to extract off diagonal
elements for ARCH and GARCH parameter to allow for volatility spillover
(DCC-GARCH) via rmgarch package. As far as I know there was an option to
select "extended" model in ccgarch package to allow spillovers. As I am
using VARX-DCC GARCH model, I can only get spilover effects for conditional
mean and not for volatility equations. However, I require results for
volatility transmission of one series to another series. Is there any
particular model that I need to select to get such results for variance
equation?

Any assistance would be greatly appreciated.

Regards,
Sania





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