Hello,
I am trying to model a bivariate time series called 'residuals' as a dcc-garch model. I want to use the function dcc.estimation(a, A, B dcc.para, dvar, model) to estimate the parameters. No matter how I tried to define a, A and B, I always got the message "Error in constrOptim(theta = para, f = loglik.dcc2, gr = grad.dcc2, ui = resta, : initial value not feasible". As my knowledge about GARCH is rather poor, I might have defined some input values in an incorrect way. E.g. this is a part of my code: a <- rep(0,2) A <- diag(2) B <- diag(2) dcc.para <- rep(0,2) dvar <- residuals model <- 'diagonal' dcc.estimation(a, A, B, dcc.para, dvar, model) I would be very grateful if someone could help! Thanks a lot! [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list 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.