rgarch package - VAR in DCC model example
On 22/07/2011 14:13, Jacek wrote:
Thank you very much Alexios. May I just ask a few questions related to this code: 1. lag.max=NULL means you force the lag length to be equal 1 (lag=1)?
Correct(or whatever lag is).
2. if lag.max=3 then lag length will be chosen according to the information criterion from 1 to 3?
Correct.
3. if after this code you write "fit" then you see univariate and DCC estimates but no VAR (why?). Is this is the right why to get them: fit at mfit$model$vrmodel$Bcoef ?
VAR estimate too big to fit on screen. Yes, use fit at mfit$model$vrmodel$Bcoef (will add a method in next release to make it more easily accessible).
4. "see ?dccfit for option of passing the VAR estimate seperately at this stage" - using varxfilter? But varxfilter doesn't find the optimal lag length right?
Correct.
5. In the desription to rgarch package is writen that "For high frequency data, the user should make use of non-named representation such as matrix". So if I want to use it for intraday data this code should be working as it is?
Yes.
Thank you in advance! Kind regards, Jacek
HTH. Alexios
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