[R] DCC Garch model estimation

liwenkai1986 at hotmail.com liwenkai1986 at hotmail.com
Fri Oct 16 15:35:07 CEST 2009


Hi all:
      I am a master student writing my master thesis about using the DCC garch model analysing the correlation between the insurance stock market  and the local market. Right now I have a question about how to estimate the DCC garch, I know all the other meanings of the arguments in the ccgarch package, but still dont know how to estimate the dcc.para in the function dcc.estimation with for example two columns of time series returns. Can you tell me how to get the dcc.para matrix in R?

Really thanks.
Best Regards.

Wenkai Li
liwenkai1986 at hotmail.com




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