simulateCDCC: Simulating data from corrected DCC-GARCH process
In ccgarch2: Conditional Correlation GARCH Models

Description Usage Arguments Details Value References See Also Examples

This function simulates data from corrected DCC-GARCH process

1	simulateCDCC(a, b, Q, a0, A, B, nobs, ncut=1000)

`a`	a constant in the DCC part.
`b`	a constant in the DCC part.
`Q`	a covariance matrix of the standardized residuals with ones on diagonal
`a0`	a vector of constants in the GARCH part.
`A`	a matrix of ARCH parameter.
`B`	a matrix of GARCH parameter.
`nobs`	the number of observations to be simulated.
`ncut`	the number of initial entries to be discarded. Default is 1000.

If the ARCH and GARCH parameter matrices, A and B, are set as non-diagonal, the corresponding DGP allows for interactions in conditional variances (see Nakatani and Ter\"asvirta (2009) for instance).

For estimating a cDCC-GARCH model, estimateCDCC is available.

This function returns a list with the following components.

`CDCC`	a matrix of the simulated cDCC.
`z`	a matrix of the simulated standardized residuals.
`Q`	a matrix of the simulated Q, which is transformed into cDCC.
`h`	a matrix of the simulated conditional variances.
`eps`	a matrix of the simulated time series with cDCC-GARCH errors.

Aielli, G.P. (2013), “Dynamic Conditional Correlation: On Properties and Estimation.” Journal of Business and Economic Statistics 31, 282–299.

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.

Nakatani, T. and T. Ter\"asvirta (2009), “Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model”, Econometrics Journal, 12, 147–163.

estimateCDCC, summary.cdcc