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
morie_dcc_multivariate_garch(x = matrix(rnorm(150), 50, 3))
#> Warning:
#> ugarchfit-->waring: using less than 100 data
#> points for estimation
#> Warning:
#> ugarchfit-->waring: using less than 100 data
#> points for estimation
#> Warning:
#> ugarchfit-->waring: using less than 100 data
#> points for estimation
#> $a
#> [1] 1e-06
#>
#> $b
#> [1] 1e-06
#>
#> $unconditional_correlation
#> [,1] [,2] [,3]
#> [1,] 0.9338071 -0.2414364 0.2056272
#> [2,] -0.2414364 1.0297099 0.1463120
#> [3,] 0.2056272 0.1463120 1.1395258
#>
#> $conditional_correlation
#> , , 1
#>
#> [,1] [,2] [,3]
#> [1,] 1 -0.2462162 0.1993379
#> [2,] 1 -0.2462180 0.1993385
#> [3,] 1 -0.2462150 0.1993377
#> [4,] 1 -0.2462167 0.1993385
#> [5,] 1 -0.2462164 0.1993374
#> [6,] 1 -0.2462162 0.1993376
#> [7,] 1 -0.2462153 0.1993374
#> [8,] 1 -0.2462161 0.1993376
#> [9,] 1 -0.2462163 0.1993379
#> [10,] 1 -0.2462163 0.1993379
#> [11,] 1 -0.2462177 0.1993404
#> [12,] 1 -0.2462153 0.1993381
#> [13,] 1 -0.2462157 0.1993374
#> [14,] 1 -0.2462161 0.1993372
#> [15,] 1 -0.2462156 0.1993400
#> [16,] 1 -0.2462172 0.1993373
#> [17,] 1 -0.2462173 0.1993373
#> [18,] 1 -0.2462162 0.1993381
#> [19,] 1 -0.2462169 0.1993361
#> [20,] 1 -0.2462162 0.1993380
#> [21,] 1 -0.2462160 0.1993383
#> [22,] 1 -0.2462156 0.1993393
#> [23,] 1 -0.2462162 0.1993379
#> [24,] 1 -0.2462156 0.1993373
#> [25,] 1 -0.2462151 0.1993397
#> [26,] 1 -0.2462164 0.1993368
#> [27,] 1 -0.2462152 0.1993372
#> [28,] 1 -0.2462168 0.1993379
#> [29,] 1 -0.2462180 0.1993369
#> [30,] 1 -0.2462142 0.1993382
#> [31,] 1 -0.2462154 0.1993378
#> [32,] 1 -0.2462159 0.1993381
#> [33,] 1 -0.2462150 0.1993381
#> [34,] 1 -0.2462158 0.1993379
#> [35,] 1 -0.2462165 0.1993378
#> [36,] 1 -0.2462154 0.1993378
#> [37,] 1 -0.2462165 0.1993375
#> [38,] 1 -0.2462152 0.1993381
#> [39,] 1 -0.2462162 0.1993380
#> [40,] 1 -0.2462177 0.1993378
#> [41,] 1 -0.2462156 0.1993356
#> [42,] 1 -0.2462180 0.1993396
#> [43,] 1 -0.2462153 0.1993398
#> [44,] 1 -0.2462162 0.1993376
#> [45,] 1 -0.2462186 0.1993368
#> [46,] 1 -0.2462164 0.1993364
#> [47,] 1 -0.2462159 0.1993375
#> [48,] 1 -0.2462161 0.1993378
#> [49,] 1 -0.2462170 0.1993384
#> [50,] 1 -0.2462162 0.1993376
#>
#> , , 2
#>
#> [,1] [,2] [,3]
#> [1,] -0.2462162 1 0.1350705
#> [2,] -0.2462180 1 0.1350695
#> [3,] -0.2462150 1 0.1350695
#> [4,] -0.2462167 1 0.1350681
#> [5,] -0.2462164 1 0.1350710
#> [6,] -0.2462162 1 0.1350704
#> [7,] -0.2462153 1 0.1350703
#> [8,] -0.2462161 1 0.1350700
#> [9,] -0.2462163 1 0.1350704
#> [10,] -0.2462163 1 0.1350704
#> [11,] -0.2462177 1 0.1350658
#> [12,] -0.2462153 1 0.1350734
#> [13,] -0.2462157 1 0.1350701
#> [14,] -0.2462161 1 0.1350703
#> [15,] -0.2462156 1 0.1350708
#> [16,] -0.2462172 1 0.1350713
#> [17,] -0.2462173 1 0.1350705
#> [18,] -0.2462162 1 0.1350704
#> [19,] -0.2462169 1 0.1350712
#> [20,] -0.2462162 1 0.1350705
#> [21,] -0.2462160 1 0.1350706
#> [22,] -0.2462156 1 0.1350708
#> [23,] -0.2462162 1 0.1350707
#> [24,] -0.2462156 1 0.1350702
#> [25,] -0.2462151 1 0.1350711
#> [26,] -0.2462164 1 0.1350710
#> [27,] -0.2462152 1 0.1350703
#> [28,] -0.2462168 1 0.1350703
#> [29,] -0.2462180 1 0.1350717
#> [30,] -0.2462142 1 0.1350708
#> [31,] -0.2462154 1 0.1350704
#> [32,] -0.2462159 1 0.1350708
#> [33,] -0.2462150 1 0.1350714
#> [34,] -0.2462158 1 0.1350708
#> [35,] -0.2462165 1 0.1350705
#> [36,] -0.2462154 1 0.1350704
#> [37,] -0.2462165 1 0.1350715
#> [38,] -0.2462152 1 0.1350713
#> [39,] -0.2462162 1 0.1350704
#> [40,] -0.2462177 1 0.1350702
#> [41,] -0.2462156 1 0.1350701
#> [42,] -0.2462180 1 0.1350692
#> [43,] -0.2462153 1 0.1350706
#> [44,] -0.2462162 1 0.1350703
#> [45,] -0.2462186 1 0.1350711
#> [46,] -0.2462164 1 0.1350709
#> [47,] -0.2462159 1 0.1350698
#> [48,] -0.2462161 1 0.1350703
#> [49,] -0.2462170 1 0.1350700
#> [50,] -0.2462162 1 0.1350708
#>
#> , , 3
#>
#> [,1] [,2] [,3]
#> [1,] 0.1993379 0.1350705 1
#> [2,] 0.1993385 0.1350695 1
#> [3,] 0.1993377 0.1350695 1
#> [4,] 0.1993385 0.1350681 1
#> [5,] 0.1993374 0.1350710 1
#> [6,] 0.1993376 0.1350704 1
#> [7,] 0.1993374 0.1350703 1
#> [8,] 0.1993376 0.1350700 1
#> [9,] 0.1993379 0.1350704 1
#> [10,] 0.1993379 0.1350704 1
#> [11,] 0.1993404 0.1350658 1
#> [12,] 0.1993381 0.1350734 1
#> [13,] 0.1993374 0.1350701 1
#> [14,] 0.1993372 0.1350703 1
#> [15,] 0.1993400 0.1350708 1
#> [16,] 0.1993373 0.1350713 1
#> [17,] 0.1993373 0.1350705 1
#> [18,] 0.1993381 0.1350704 1
#> [19,] 0.1993361 0.1350712 1
#> [20,] 0.1993380 0.1350705 1
#> [21,] 0.1993383 0.1350706 1
#> [22,] 0.1993393 0.1350708 1
#> [23,] 0.1993379 0.1350707 1
#> [24,] 0.1993373 0.1350702 1
#> [25,] 0.1993397 0.1350711 1
#> [26,] 0.1993368 0.1350710 1
#> [27,] 0.1993372 0.1350703 1
#> [28,] 0.1993379 0.1350703 1
#> [29,] 0.1993369 0.1350717 1
#> [30,] 0.1993382 0.1350708 1
#> [31,] 0.1993378 0.1350704 1
#> [32,] 0.1993381 0.1350708 1
#> [33,] 0.1993381 0.1350714 1
#> [34,] 0.1993379 0.1350708 1
#> [35,] 0.1993378 0.1350705 1
#> [36,] 0.1993378 0.1350704 1
#> [37,] 0.1993375 0.1350715 1
#> [38,] 0.1993381 0.1350713 1
#> [39,] 0.1993380 0.1350704 1
#> [40,] 0.1993378 0.1350702 1
#> [41,] 0.1993356 0.1350701 1
#> [42,] 0.1993396 0.1350692 1
#> [43,] 0.1993398 0.1350706 1
#> [44,] 0.1993376 0.1350703 1
#> [45,] 0.1993368 0.1350711 1
#> [46,] 0.1993364 0.1350709 1
#> [47,] 0.1993375 0.1350698 1
#> [48,] 0.1993378 0.1350703 1
#> [49,] 0.1993384 0.1350700 1
#> [50,] 0.1993376 0.1350708 1
#>
#>
#> $conditional_variance
#> [,1] [,2] [,3]
#> [1,] 1.024347 0.8122657 1.2931805
#> [2,] 1.027152 0.8112616 1.2850977
#> [3,] 1.029953 0.8102587 1.2770654
#> [4,] 1.032752 0.8092570 1.2690834
#> [5,] 1.035549 0.8082566 1.2611512
#> [6,] 1.038342 0.8072574 1.2532686
#> [7,] 1.041133 0.8062595 1.2454353
#> [8,] 1.043920 0.8052628 1.2376509
#> [9,] 1.046705 0.8042673 1.2299152
#> [10,] 1.049487 0.8032731 1.2222278
#> [11,] 1.052267 0.8022801 1.2145886
#> [12,] 1.055044 0.8012883 1.2069970
#> [13,] 1.057817 0.8002978 1.1994529
#> [14,] 1.060589 0.7993084 1.1919560
#> [15,] 1.063357 0.7983203 1.1845059
#> [16,] 1.066122 0.7973334 1.1771024
#> [17,] 1.068885 0.7963478 1.1697451
#> [18,] 1.071645 0.7953633 1.1624339
#> [19,] 1.074403 0.7943801 1.1551683
#> [20,] 1.077157 0.7933981 1.1479482
#> [21,] 1.079909 0.7924173 1.1407732
#> [22,] 1.082658 0.7914377 1.1336430
#> [23,] 1.085404 0.7904594 1.1265574
#> [24,] 1.088147 0.7894822 1.1195161
#> [25,] 1.090888 0.7885062 1.1125188
#> [26,] 1.093626 0.7875315 1.1055652
#> [27,] 1.096361 0.7865580 1.0986551
#> [28,] 1.099094 0.7855856 1.0917882
#> [29,] 1.101824 0.7846145 1.0849642
#> [30,] 1.104551 0.7836446 1.0781828
#> [31,] 1.107275 0.7826758 1.0714439
#> [32,] 1.109997 0.7817083 1.0647471
#> [33,] 1.112716 0.7807420 1.0580921
#> [34,] 1.115432 0.7797768 1.0514787
#> [35,] 1.118145 0.7788129 1.0449067
#> [36,] 1.120856 0.7778501 1.0383757
#> [37,] 1.123564 0.7768886 1.0318856
#> [38,] 1.126269 0.7759282 1.0254360
#> [39,] 1.128972 0.7749690 1.0190267
#> [40,] 1.131672 0.7740110 1.0126575
#> [41,] 1.134369 0.7730542 1.0063281
#> [42,] 1.137064 0.7720986 1.0000383
#> [43,] 1.139755 0.7711441 0.9937878
#> [44,] 1.142445 0.7701909 0.9875764
#> [45,] 1.145131 0.7692388 0.9814037
#> [46,] 1.147815 0.7682879 0.9752697
#> [47,] 1.150496 0.7673381 0.9691740
#> [48,] 1.153174 0.7663896 0.9631164
#> [49,] 1.155850 0.7654422 0.9570967
#> [50,] 1.158523 0.7644959 0.9511146
#>
#> $loglik
#> [1] 3.514863
#>
#> $n
#> [1] 50
#>
#> $k
#> [1] 3
#>
#> $method
#> [1] "DCC(1,1) two-step Gaussian MLE (base R)"
#>