[R] DCC help
martin.ding at student.adelaide.edu.au
Sat Oct 13 06:36:55 CEST 2012
i am using a dcc model for my senior thesis, it looks at stock returns
during times of market uncertainty.
my current rfile is below.
### DCC ###
a1 <- c(0.003, 0.001, 0.001)
A1 <- diag(c(0.1,0.1,0.1))
B1 <- diag(c(0.1, 0.1, 0.1))
dcc.para <- c(0.01,0.98)
# Estimating a DCC-GARCH(1,1) model
dcc.results <- dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dcc.para,
# Parameter estimates and their robust standard errors
this gives me the output results and a plot.
the questions i have are
1. how do i get a plot with lines instead of dots
2. in my file i have two types of dummy variables - the first are quantiles
where it is 1 if stock returns are in the lowest 5% quantile and the second
dummy variable are specific events in the world economy where it is 1 if the
stock return for that day happens to lie within the date range i specified
for each event.
i have fun the dcc without my dummy variables, but how can i incorporate my
dummies into my results as i cannot find a user guide to help me
any help would be greatly appreciated!
thank you all!
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