R arm of morie.fn.dccgrch: the dynamic conditional correlation
model \(R_t = diag(Q_t)^{-1/2} Q_t diag(Q_t)^{-1/2}\), \(Q_t = (1 - a
- b)\bar Q + a z_{t-1} z_{t-1}' + b Q_{t-1}\) (Engle 2002) by the two-step
Gaussian estimator of morie_dcc_multivariate_garch.
Arguments
- X
Return series, n by k (n at least 30, k at least 2).
Value
The result of morie_dcc_multivariate_garch.
References
Engle, R. F. (2002). Dynamic conditional correlation. Journal
of Business and Economic Statistics 20, 339-350.
Examples
tt <- 0:59
Dccgrch(cbind(sin(0.7 * tt) + 0.3 * cos(1.9 * tt), sin(0.7 * tt + 0.4) + 0.2 * sin(2.3 * tt)))$a
#> [1] 1e-06
