dcc.est {ccgarch} | R Documentation |
This function returns dynamic conditional correlations based on the parameters specified.
dcc.est(dvar, param)
dvar |
a matrix of the standardised residuals (T times N) |
param |
a vector of the DCC parameters (2 times 1) |
a list with components:
DCC |
a matrix of the dynamic conditional correlations (T times N^{2}) |
Q |
a matrix of the mathbf{Q}_{t} (T times N^{2}) |
a constant matrix mathbf{Q} in the DCC equation is computed by mathbf{Q}=cov(dvar).
Engle, R.F. and K. Sheppard (2001), “Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH.” Stern Finance Working Paper Series FIN-01-027 (Revised in Dec. 2001), New York University Stern School of Business.
Engle, R.F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.” Journal of Business and Economic Statistics 20, 339–350.