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rmgarch::cgarchfit: how to obtain Q matrix of DCC-Copula model?

1 message · Ezequiel Antar

#
Hi all,
I'm fitting a DCC-Copula model using cgarchfit.
The method rcor provides the conditional correlation matrix R. But how can
I obtain the DCC matrix Q from which R is derived?
I tried rcor(fit, type = "Q") as for dccfit, but this doesn't work for
cgarchfit.
Thanks!
Ezequiel