Question on rmgarch - dccspec

I?ll take a look over the weekend. Thanks for reporting.

Alexios

On Mar 1, 2019, at 10:50 AM, Amit Mittal <prof.amit.mittal at gmail.com>

wrote:

Josh,

It is explicitly mentioned in the documentation that the dccfit works

only for one lag. It is able to manage multiple markets because it works
with this limitation. Tis limitation works beautifully to get large
datasets reproducible and effective analysis and additional gains I feel
may be unwieldy and minimal with out this restriction and need not be
prioritized

Best Regards
Amit
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From: Josh Segal
Sent: 01 March 2019 23:23
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] Question on rmgarch - dccspec

Hi guys/Alexios,

I'm finding that dccspec ignores the input for lag.max.  Looking at the
code, I see:
if(is.null(lag.max)) VAR.opt$lag.max = NULL else VAR.opt$lag.max =
as.integer(min(1, lag.max))
Why is min taken against 1?  This seems to defeat the purpose.

Thanks,
Josh

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should go.

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should go.