dcc_correlations: This function get the correlation matrix (Rt) of estimated...

In xdcclarge: Estimating a (c)DCC-GARCH Model in Large Dimensions

Description

This function get the correlation matrix (Rt) of estimated DCC-GARCH model.

Usage

dcc_correlations(param, stdresids, uncR, ts)

Arguments

param	DCC-GARCH parameters(alpha,beta)
stdresids	matrix of standrdized(De-GARCH) residual returns (T by N)
uncR	unconditional correlation matrix of stdresids (N by N)
ts	ts how many time series are you taking

Value

the correlation matrix (Rt) of estimated DCC-GARCH model (T by N^2)

Note

Rt are vectorized values of the conditional correlation matrix(Rt) until time t(ts) for each row.

xdcclarge documentation built on May 2, 2019, 12:40 p.m.