DCC help
Forwarding to R-SIG-Finance where I believe you're likely to get more help: In the meanwhile, I think you may wish to look at http://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example Finally, I note you're posting from Nabble. Please include context in your follow-ups -- I don't believe Nabble does this automatically, so you'll need to manually include it. Most of the regular respondents on these lists don't use Nabble -- it is a _mailing list_ after all -- so we don't get the forum view you do, only emails of the individual posts. Combine that with the high volume of posts, and it's quite difficult to trace a discussion if we all don't make sure to include context. Cheers, Michael On Sat, Oct 13, 2012 at 5:36 AM, australiastudent
<martin.ding at student.adelaide.edu.au> wrote:
hi all, i am using a dcc model for my senior thesis, it looks at stock returns during times of market uncertainty. my current rfile is below. library(SparseM) library(quantreg) library(zoo) library(nortest) library(MASS) library(fEcofin) library(mvtnorm) library(ccgarch) library(stats) library(foreign) #dataset<-read.csv(file="xxxx",header=FALSE) attach(dataset); vardata=data.frame(dataset[,2],dataset[,4]) ### DCC ### #initial values a1 <- c(0.003, 0.001, 0.001) A1 <- diag(c(0.1,0.1,0.1)) B1 <- diag(c(0.1, 0.1, 0.1)) dcc.para <- c(0.01,0.98) # Estimating a DCC-GARCH(1,1) model dcc.results <- dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dcc.para, dvar=vardata, model="diagonal") # Parameter estimates and their robust standard errors dcc.results$out DCC_corr<-dcc.results$DCC[,2] plot(DCC_corr) this gives me the output results and a plot. the questions i have are 1. how do i get a plot with lines instead of dots 2. in my file i have two types of dummy variables - the first are quantiles where it is 1 if stock returns are in the lowest 5% quantile and the second dummy variable are specific events in the world economy where it is 1 if the stock return for that day happens to lie within the date range i specified for each event. i have fun the dcc without my dummy variables, but how can i incorporate my dummies into my results as i cannot find a user guide to help me any help would be greatly appreciated! thank you all! -- View this message in context: http://r.789695.n4.nabble.com/DCC-help-tp4646061.html Sent from the R help mailing list archive at Nabble.com.
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