Hi
I am trying to implement a typical GARCH-Copula with DCC for dynamic
correlations. Is there someone could give me an example codes how it can be
done? I have implemented this in Matlab, but don't know how to get a start
in R. I have googled around and found rmgarch package can give it a go.
1. The returned object is of class 'cGARCHfit'. Try getting help by
typing ?'cGARCHfit-class'. This will bring up all the methods available
to use on the object e.g. show(cfit), coef(cfit) and rcor(cfit).
2.rcor(cfit) returns an array of the conditional correlation.
3-4 Try searching first on ht
Thank you Alexios!
Now I can see how to do the first 2 Qs. Sorry, I am very new to R. Could you
tell me how to run the files in the 'rmgarch.tests' folder? I typed
> runtests
Error: object 'runtests' not found
--
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You need to source the files to run them...but this is more for
debugging and testing than for learning. If you want to learn how
to use the package and its functions you should run the code examples
interactively line by line and understand what they do (the code is
commented to help).
-Alexi
Thank you Alexios for quick reply!! The files in the 'rmgarch.tests' folder
gave me a lot of help.
Can I do 1-step ahead forecasting using GARCH-Copula with the help of
rmgarch package? for example I need to get the returns of each assets and
their covariance at T+1 based on the parameters estima
1. The code in the rmgarch.tests folder is up to date. The code below
that you quote is an outdated example and not from the rmgarch.tests
folder but from the help page for cgarchsim (which I should update
anyway when I find the time). Please only use the examples from the
folder indicated (the
Thank you Alexios for always prompt and patient reply!
Yes, you are right. It does not make sense to look at the simulated cov for
1-ahead. I was trying to do a portfolio allocation exercise.
1) If the mean-variance approach is adopted, basically what I need is the
1-day-ahead return of each ass
1. GHST was added recently to rugarch and I have not updated the rmgarch
package to accomodate this (I guess it is due for an update soon).
2. If you only want mean-covariance, you can recover the conditional
mean forecast directly by using the 'varxforecast' function (if using
VAR) else from th
Thank you!
I just found there is a name "stdresid" under slot "mfit", i.e.
fit1@mfit$stdresid. I guess it refers to standardised residuals (it looks
like in the plot), is it true?
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Sent fro
True.
Details of the calculation are in the copula-postestimation.R.
-Alexios
On 09/05/2012 21:07, Alex Fei wrote:
Thank you!
I just found there is a name "stdresid" under slot "mfit", i.e.
fit1@mfit$stdresid. I guess it refers to standardised residuals (it looks
like in the plot), is it true?
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