library(ccgarch)
dvar=read.csv("dcc_rets.csv", header = TRUE, sep = ",")
# var(dvar[,1])  2.001224   var(dvar[,2]) 1.82876
#alpha=0.15;beta=0.75
#(1-(sum(alpha)+sum(beta)))*var(dvar[,1])  =0.200122
#(1-(sum(alpha)+sum(beta)))*var(dvar[,2]) = 0.182876
a <- c(0.2001, 0.1829)  
A <- diag(c(0.15,0.15))
B <- diag(c(0.75,0.75))
ini.dcc=c(0.01,0.97)
est=dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=ini.dcc,dvar=dvar, method="BFGS",model="diagonal")
est$out

par=est$out[1,]
se=est$out[2,]
tval=par/se   
n=dim(dvar)[1]
p=length(par)
pval<-2*(1-pt(abs(tval),(n-p)))   
results<-cbind(par,se,tval,pval)
print(results)
                par           se                tval          pval
a1         0.0100890 0.0054275   1.85886 6.3166e-02
a2         0.0103059 0.0121673   0.84701 3.9707e-01
A11       0.0749956 0.0104003   7.21088 7.3652e-13
A22       0.1013234 0.0035647  28.42404 0.0000e+00
B11       0.9195538 0.0139596  65.87259 0.0000e+00
B22       0.8947592 0.0128188  69.80035 0.0000e+00
dcc alpha 0.0099783 0.0046175   2.16095 3.0795e-02
dcc beta  0.9876608 0.0081162 121.68961 0.0000e+00

学习一下

看看

请问ini.dcc=c(0.01,0.97)
这两个数字怎么来的？谢谢！