[R] About DCC-garch model...

[Arun.stat]

Dear Windseav, I found that it is quite subjective because the effect of
initial value will dilute after couple of time periods, hence whatever value
you put there never matters. However I found that common practice is to put
the unconditional variance/covariance/correlation for the first period. I
can recall (sometimes back I probably checked) that fgarch package (or may
be something related, I cant recall now) put average sum-square of the
observations as the estimated variance for the 1st period.

Thanks,
_____________________________________________________

Arun Kumar Saha, FRM
QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST
Visit me at: http://in.linkedin.com/in/ArunFRM
_____________________________________________________

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