How to obtain the correlation coefficients between two variables in the R object

Mon, Nov 25, 2019 5:46 AM

Thank you for your suggestion. Actually, the correlation is coming in the
DCC model through my above code which I am able to plot it. Is there any
solution that I can extract data from a particular plot. Actually, I am
able to obtain the correlation matrix, but I need the correlation
coefficient series indicating the correlation coefficients between the two
variables.



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11/25/19,
07:12:49 PM

On Mon, Nov 25, 2019 at 7:10 PM Michael Dewey <lists at dewey.myzen.co.uk>
wrote:

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.

--
Michael
http://www.dewey.myzen.co.uk/home.html

*Best Regards,*
*Subhamitra Patra*
*Phd. Research Scholar*
*Department of Humanities and Social Sciences*
*Indian Institute of Technology, Kharagpur*
*INDIA*

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How to obtain the correlation coefficients between two variables in the R object

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