From: Marcin P?�ciennik <pucek8_at_gmail.com>

Date: Mon, 23 May 2011 22:03:53 +0200

A = diag(c(f1[2],f2[2]))

B = diag(c(f1[3], f2[3]))

dccpara = c(0.2,0.6)

dccresults = dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dccpara,dvar=y, model="diagonal")

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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Mon 23 May 2011 - 20:06:18 GMT

Date: Mon, 23 May 2011 22:03:53 +0200

Hello,

I have a few questions concerning the DCC-GARCH model and its programming in
R.

So here is what I want to do:

I take quotes of two indices - S&P500 and DJ. And the aim is to estimate
coefficients of the DCC-GARCH model for them. This is how I do it:

library(tseries)

p1 = get.hist.quote(instrument = "^gspc",start = "2005-01-07",end =

"2009-09-04",compression = "w", quote="AdjClose")

p2 = get.hist.quote(instrument = "^dji",start = "2005-01-07",end =

"2009-09-04",compression = "w", quote="AdjClose")

p = cbind(p1,p2)

y = diff(log(p))*100

y[,1] = y[,1]-mean(y[,1])

y[,2] = y[,2]-mean(y[,2])

T = length(y[,1])

library(ccgarch)

library(fGarch)

f1 = garchFit(~ garch(1,1), data=y[,1],include.mean=FALSE) f1 = f1_at_fit$coef f2 = garchFit(~ garch(1,1), data=y[,2],include.mean=FALSE) f2 = f2_at_fit$coef a = c(f1[1], f2[1])

A = diag(c(f1[2],f2[2]))

B = diag(c(f1[3], f2[3]))

dccpara = c(0.2,0.6)

dccresults = dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dccpara,dvar=y, model="diagonal")

dccresults$out

DCCrho = dccresults$DCC[,2]

matplot(DCCrho, type='l')

dccresults$out deliver me the estimated coefficients of the DCC-GARCH model.
And here is my first question:

How can I check if these coefficients are significant or not? How can I test
them for significance?

second question would be:

Is this true that matplot(DCCrho, type='l') shows conditional correlation
between the two indices in question?

and the third one:

What is actually dccpara and why do I get totally different DCC-alpha and
DCC-beta coefficients if I change dccpara from c(0.2,0.6) to, let's say,
c(0.01, 0.98) ? What determines which values should be chosen?

Hopefully someone will find time to give me a hand.

Thank you very much in advance, people of good will, for looking at/checking what I wrote and helping me.

Best regards

Marcin

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