[R] DCC help
R. Michael Weylandt
michael.weylandt at gmail.com
Sat Oct 13 11:51:16 CEST 2012
Forwarding to R-SIG-Finance where I believe you're likely to get more help:
In the meanwhile, I think you may wish to look at
Finally, I note you're posting from Nabble. Please include context in
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On Sat, Oct 13, 2012 at 5:36 AM, australiastudent
<martin.ding at student.adelaide.edu.au> wrote:
> hi all,
> 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 ###
> #initial values
> 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,
> dvar=vardata, model="diagonal")
> # 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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