How to obtain the correlation coefficients between two variables in the R object
To get multiple plots on the same physical page try ?layout ot look through the various option under ?par I do not know enough about DCC models to answer how you get correlations. Michael
On 25/11/2019 10:34, Subhamitra Patra wrote:
Dear R-users, I am estimating the DCC-model by using the following code and successfully making the individual plots indicating the dynamic correlation between the two variables stored in the R data frame (namely dcc.fit in my code). My code is Dat = Date2[,2:13, drop = FALSE] library(rmgarch) library(rugarch) xspec = ugarchspec(mean.model = list(armaOrder = c(1, 1)), variance.model = list(garchOrder = c(1,1), model = 'eGARCH'), distribution.model = 'norm') uspec = multispec(replicate(12, xspec)) # Define a function using xspec dcc.garch11spec = dccspec(uspec = uspec, dccOrder = c(1, 1), distribution = 'mvnorm') dcc.fit = dccfit(dcc.garch11spec, data = Dat) r1=rcor(dcc.fit, type="R") print(r1) Here, I need to obtain the DCC relationship between the two variables. I successfully make a separate plot for the correlation between the two variables with the following code. plot(rcor(dcc.fit, type="R")['A1','A2',], type='l') plot(rcor(dcc.fit, type="R")['B1','B2',], type='l') plot(rcor(dcc.fit, type="R")['C1','C2',], type='l') plot(rcor(dcc.fit, type="R")['D1','D2',], type='l') plot(rcor(dcc.fit, type="R")['E1','E2',], type='l') plot(rcor(dcc.fit, type="R")['F1','F2',], type='l') Here, I request your help on two things which I am unable to do. 1. I need to arrange all the above individual plots (counted as 6) on one page. 2. I need to obtain the correlation coefficients between the particular two variables (i.e. A1 versus A2, B1 versus B2, .......so on) throughout the entire period. For your convenience, I have attached my sample data. I definitely expect a positive help from the experts as the suggestions from the expert through this R forum has always solved my previous problem. Thank you.