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
rmgarch::cgarchfit: how to obtain Q matrix of DCC-Copula model?
1 message · Ezequiel Antar