[R-SIG-Finance] dccfit (RMGARCH): using uGARCHmultifit

borkrese@rch m@iii@g oii gm@ii@com borkrese@rch m@iii@g oii gm@ii@com
Thu Nov 5 07:47:54 CET 2020

Anyone tried the function input uGARCHmultifit of the dccfit function from rmgarch? If so can you provide an example of how you used it and how to setup the uGARCHmultifit object? I can't figure it out.

According to the documentation <https://www.rdocumentation.org/packages/rmgarch/versions/1.3-7/topics/dccfit-methods>  it should be possible to use the fit argument in dccfit where

*	" fit: (A previously estimated univariate '>uGARCHmultifit object (see details)."

I'd like to input my fits of several GARCH models directly into the final DCC estimation because the GARCH models where difficult to estimate (I used several optimizers).


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