Description Usage Arguments Value References See Also

This function carries out the first stage (volatility part) estimation of the (E)DCC-GARCH model.

1 | ```
dcc.estimation1(dvar, a, A, B, model, method="BFGS")
``` |

`dvar` |
a matrix of the data used for estimating the (E)DCC-GARCH(1,1) model |

`a` |
a vector of constants in the vector GARCH equation |

`A` |
an ARCH parameter matrix in the vector GARCH equation |

`B` |
a GARCH parameter matrix in the vector GARCH equation |

`model` |
a character string describing the model. |

`method` |
a character string specifying the optimisation method in |

a list of the estimation results. See the explanations in `optim`

.

Engle, R.F. and K. Sheppard (2001),
“Theoretical and Empirical Properties of Dynamic
Conditional Correlation Multivariate GARCH.”
*Stern Finance Working Paper Series*
FIN-01-027 (Revised in Dec. 2001),
New York University Stern School of Business.

Engle, R.F. (2002),
“Dynamic Conditional Correlation: A Simple Class of
Multivariate Generalized Autoregressive Conditional
Heteroskedasticity Models.”
*Journal of Business and Economic Statistics*
**20**, 339–350.

`optim`

,
`dcc.estimation2`

,
`dcc.estimation`

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