dcc.est {ccgarch}R Documentation

Dynamic conditional correlations

Description

This function returns dynamic conditional correlations based on the parameters specified.

Usage


    dcc.est(dvar, param)

Arguments

dvar a matrix of the standardised residuals (T times N)
param a vector of DCC parameters (2 times 1)

Value

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}

Note

mathbf{Q} (a constant matrix) in the DCC equation is determined by mathbf{Q}=cov(dvar).

References

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.


[Package ccgarch version 0.1.1 Index]