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

Alexios Galanos @|ex|o@ @end|ng |rom 4d@c@pe@com
Thu Nov 5 08:15:57 CET 2020


Take a look at the examples in the inst/rmgarch.tests folder of the source package or this post from 7+ years ago: 

http://www.unstarched.net/2013/01/03/the-garch-dcc-model-and-2-stage-dccmvt-estimation/

-Alexios


> On Nov 4, 2020, at 10:48 PM, borkresearch using gmail.com wrote:
> 
> 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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