Two-step DCC(1,1) on a panel of return series.
Value
Named list with \(a, b, unconditional_correlation, conditional_correlation, conditional_variance, loglik, n, k, method\).
Examples
set.seed(1)
morie_dcc_multivariate_garch(x = matrix(rnorm(150), 50, 3))
#> $a
#> [1] 1e-06
#>
#> $b
#> [1] 1e-06
#>
#> $unconditional_correlation
#> [,1] [,2] [,3]
#> [1,] 1.11085533 -0.04482075 0.03329263
#> [2,] -0.04482075 1.05603840 0.01945219
#> [3,] 0.03329263 0.01945219 0.98405142
#>
#> $conditional_correlation
#> , , 1
#>
#> [,1] [,2] [,3]
#> [1,] 1 -0.04138191 0.03184275
#> [2,] 1 -0.04138213 0.03184316
#> [3,] 1 -0.04138197 0.03184277
#> [4,] 1 -0.04138213 0.03184367
#> [5,] 1 -0.04138398 0.03184332
#> [6,] 1 -0.04138152 0.03184258
#> [7,] 1 -0.04138382 0.03184019
#> [8,] 1 -0.04138212 0.03184314
#> [9,] 1 -0.04138275 0.03184356
#> [10,] 1 -0.04138164 0.03184305
#> [11,] 1 -0.04138178 0.03184173
#> [12,] 1 -0.04137787 0.03184190
#> [13,] 1 -0.04138196 0.03184263
#> [14,] 1 -0.04138239 0.03184124
#> [15,] 1 -0.04138150 0.03184401
#> [16,] 1 -0.04138294 0.03184265
#> [17,] 1 -0.04138192 0.03184279
#> [18,] 1 -0.04138155 0.03184277
#> [19,] 1 -0.04138044 0.03184258
#> [20,] 1 -0.04138186 0.03184339
#> [21,] 1 -0.04138054 0.03184272
#> [22,] 1 -0.04138152 0.03184230
#> [23,] 1 -0.04138259 0.03184419
#> [24,] 1 -0.04138192 0.03184275
#> [25,] 1 -0.04137896 0.03184272
#> [26,] 1 -0.04138277 0.03184278
#> [27,] 1 -0.04138194 0.03184253
#> [28,] 1 -0.04138172 0.03184271
#> [29,] 1 -0.04138160 0.03184242
#> [30,] 1 -0.04138187 0.03184320
#> [31,] 1 -0.04138219 0.03184266
#> [32,] 1 -0.04138298 0.03184312
#> [33,] 1 -0.04138184 0.03184288
#> [34,] 1 -0.04138148 0.03184304
#> [35,] 1 -0.04138151 0.03184303
#> [36,] 1 -0.04138278 0.03184170
#> [37,] 1 -0.04138205 0.03184375
#> [38,] 1 -0.04138251 0.03184284
#> [39,] 1 -0.04138181 0.03184283
#> [40,] 1 -0.04138153 0.03184197
#> [41,] 1 -0.04138176 0.03184283
#> [42,] 1 -0.04138166 0.03184339
#> [43,] 1 -0.04138241 0.03184206
#> [44,] 1 -0.04138101 0.03184148
#> [45,] 1 -0.04138152 0.03184255
#> [46,] 1 -0.04138346 0.03184375
#> [47,] 1 -0.04138238 0.03184338
#> [48,] 1 -0.04138238 0.03184348
#> [49,] 1 -0.04138254 0.03184287
#> [50,] 1 -0.04138146 0.03184304
#>
#> , , 2
#>
#> [,1] [,2] [,3]
#> [1,] -0.04138191 1 0.01908182
#> [2,] -0.04138213 1 0.01908167
#> [3,] -0.04138197 1 0.01908165
#> [4,] -0.04138213 1 0.01908161
#> [5,] -0.04138398 1 0.01908135
#> [6,] -0.04138152 1 0.01908101
#> [7,] -0.04138382 1 0.01908608
#> [8,] -0.04138212 1 0.01908136
#> [9,] -0.04138275 1 0.01908046
#> [10,] -0.04138164 1 0.01908208
#> [11,] -0.04138178 1 0.01908127
#> [12,] -0.04137787 1 0.01908064
#> [13,] -0.04138196 1 0.01908187
#> [14,] -0.04138239 1 0.01908279
#> [15,] -0.04138150 1 0.01908187
#> [16,] -0.04138294 1 0.01908186
#> [17,] -0.04138192 1 0.01908180
#> [18,] -0.04138155 1 0.01908216
#> [19,] -0.04138044 1 0.01908160
#> [20,] -0.04138186 1 0.01908184
#> [21,] -0.04138054 1 0.01908172
#> [22,] -0.04138152 1 0.01908166
#> [23,] -0.04138259 1 0.01908021
#> [24,] -0.04138192 1 0.01908178
#> [25,] -0.04137896 1 0.01908184
#> [26,] -0.04138277 1 0.01908171
#> [27,] -0.04138194 1 0.01908200
#> [28,] -0.04138172 1 0.01908176
#> [29,] -0.04138160 1 0.01908180
#> [30,] -0.04138187 1 0.01908185
#> [31,] -0.04138219 1 0.01908197
#> [32,] -0.04138298 1 0.01908162
#> [33,] -0.04138184 1 0.01908196
#> [34,] -0.04138148 1 0.01908277
#> [35,] -0.04138151 1 0.01908471
#> [36,] -0.04138278 1 0.01908208
#> [37,] -0.04138205 1 0.01908142
#> [38,] -0.04138251 1 0.01908165
#> [39,] -0.04138181 1 0.01908201
#> [40,] -0.04138153 1 0.01908166
#> [41,] -0.04138176 1 0.01908184
#> [42,] -0.04138166 1 0.01908327
#> [43,] -0.04138241 1 0.01908347
#> [44,] -0.04138101 1 0.01908001
#> [45,] -0.04138152 1 0.01908162
#> [46,] -0.04138346 1 0.01908019
#> [47,] -0.04138238 1 0.01908151
#> [48,] -0.04138238 1 0.01907810
#> [49,] -0.04138254 1 0.01908170
#> [50,] -0.04138146 1 0.01908343
#>
#> , , 3
#>
#> [,1] [,2] [,3]
#> [1,] 0.03184275 0.01908182 1
#> [2,] 0.03184316 0.01908167 1
#> [3,] 0.03184277 0.01908165 1
#> [4,] 0.03184367 0.01908161 1
#> [5,] 0.03184332 0.01908135 1
#> [6,] 0.03184258 0.01908101 1
#> [7,] 0.03184019 0.01908608 1
#> [8,] 0.03184314 0.01908136 1
#> [9,] 0.03184356 0.01908046 1
#> [10,] 0.03184305 0.01908208 1
#> [11,] 0.03184173 0.01908127 1
#> [12,] 0.03184190 0.01908064 1
#> [13,] 0.03184263 0.01908187 1
#> [14,] 0.03184124 0.01908279 1
#> [15,] 0.03184401 0.01908187 1
#> [16,] 0.03184265 0.01908186 1
#> [17,] 0.03184279 0.01908180 1
#> [18,] 0.03184277 0.01908216 1
#> [19,] 0.03184258 0.01908160 1
#> [20,] 0.03184339 0.01908184 1
#> [21,] 0.03184272 0.01908172 1
#> [22,] 0.03184230 0.01908166 1
#> [23,] 0.03184419 0.01908021 1
#> [24,] 0.03184275 0.01908178 1
#> [25,] 0.03184272 0.01908184 1
#> [26,] 0.03184278 0.01908171 1
#> [27,] 0.03184253 0.01908200 1
#> [28,] 0.03184271 0.01908176 1
#> [29,] 0.03184242 0.01908180 1
#> [30,] 0.03184320 0.01908185 1
#> [31,] 0.03184266 0.01908197 1
#> [32,] 0.03184312 0.01908162 1
#> [33,] 0.03184288 0.01908196 1
#> [34,] 0.03184304 0.01908277 1
#> [35,] 0.03184303 0.01908471 1
#> [36,] 0.03184170 0.01908208 1
#> [37,] 0.03184375 0.01908142 1
#> [38,] 0.03184284 0.01908165 1
#> [39,] 0.03184283 0.01908201 1
#> [40,] 0.03184197 0.01908166 1
#> [41,] 0.03184283 0.01908184 1
#> [42,] 0.03184339 0.01908327 1
#> [43,] 0.03184206 0.01908347 1
#> [44,] 0.03184148 0.01908001 1
#> [45,] 0.03184255 0.01908162 1
#> [46,] 0.03184375 0.01908019 1
#> [47,] 0.03184338 0.01908151 1
#> [48,] 0.03184348 0.01907810 1
#> [49,] 0.03184287 0.01908170 1
#> [50,] 0.03184304 0.01908343 1
#>
#>
#> $conditional_variance
#> [,1] [,2] [,3]
#> [1,] 0.6912159 0.9386275 0.8095311
#> [2,] 0.6872126 0.9355623 0.7783807
#> [3,] 0.6832326 0.9325070 0.7419355
#> [4,] 0.6792756 0.9294618 0.7463203
#> [5,] 0.6753415 0.9264265 0.7197965
#> [6,] 0.6714302 0.9234011 0.7082126
#> [7,] 0.6675416 0.9203856 0.9143986
#> [8,] 0.6636754 0.9173799 0.8964976
#> [9,] 0.6598317 0.9143841 0.9055443
#> [10,] 0.6560102 0.9113980 0.8600251
#> [11,] 0.6522109 0.9084217 1.0165758
#> [12,] 0.6484336 0.9054552 0.9460043
#> [13,] 0.6446781 0.9024983 0.8805232
#> [14,] 0.6409444 0.8995510 0.9794444
#> [15,] 0.6372324 0.8966134 0.9170289
#> [16,] 0.6335418 0.8936853 0.8513828
#> [17,] 0.6298726 0.8907669 0.8019627
#> [18,] 0.6262246 0.8878580 0.7603071
#> [19,] 0.6225978 0.8849585 0.7260126
#> [20,] 0.6189920 0.8820686 0.7236425
#> [21,] 0.6154070 0.8791881 0.6955237
#> [22,] 0.6118428 0.8763169 0.6806870
#> [23,] 0.6082993 0.8734552 0.8012875
#> [24,] 0.6047763 0.8706028 0.7582443
#> [25,] 0.6012737 0.8677597 0.7233912
#> [26,] 0.5977914 0.8649259 0.6954543
#> [27,] 0.5943292 0.8621013 0.7197705
#> [28,] 0.5908871 0.8592860 0.6927583
#> [29,] 0.5874649 0.8564799 0.6714459
#> [30,] 0.5840626 0.8536829 0.6710348
#> [31,] 0.5806799 0.8508951 0.6549792
#> [32,] 0.5773169 0.8481163 0.6430377
#> [33,] 0.5739733 0.8453467 0.6425390
#> [34,] 0.5706491 0.8425861 0.6595482
#> [35,] 0.5673441 0.8398345 0.7609870
#> [36,] 0.5640583 0.8370919 0.7387803
#> [37,] 0.5607915 0.8343582 0.8278987
#> [38,] 0.5575437 0.8316335 0.7808128
#> [39,] 0.5543146 0.8289176 0.7503811
#> [40,] 0.5511042 0.8262107 0.7326817
#> [41,] 0.5479125 0.8235126 0.7033366
#> [42,] 0.5447392 0.8208232 0.8739832
#> [43,] 0.5415843 0.8181427 0.9274115
#> [44,] 0.5384477 0.8154710 1.0031451
#> [45,] 0.5353292 0.8128079 0.9266046
#> [46,] 0.5322288 0.8101536 0.9171664
#> [47,] 0.5291464 0.8075079 0.8737759
#> [48,] 0.5260818 0.8048709 1.1312203
#> [49,] 0.5230349 0.8022424 1.0254654
#> [50,] 0.5200057 0.7996226 1.0191954
#>
#> $loglik
#> [1] 0.07850073
#>
#> $n
#> [1] 50
#>
#> $k
#> [1] 3
#>
#> $method
#> [1] "DCC(1,1) two-step Gaussian QMLE"
#>