epoh 发表于 2012-11-21 19:02 
你的winbugs code 就是来自
WinBUGS program for the binary CES-D HERS data
dccdata.txt(25.87 KB, 下载次数: 5)
epoh老师,您好!
1、附件中的数据做dccgarch数据太少,您看在R中如何能实现自体抽样扩大
样本数据量,以比较准确地做出dccgarch估计?
2、如何修改以下程序,用我附件中的dccdata.txt中的数据进行估计?
非常感谢!
# Simulating data from the original DCC-GARCH(1,1) process
nobs <- 1000; cut <- 1000
a <- c(0.003, 0.005, 0.001)
A <- diag(c(0.2,0.3,0.15))
B <- diag(c(0.75, 0.6, 0.8))
uncR <- matrix(c(1.0, 0.4, 0.3, 0.4, 1.0, 0.12, 0.3, 0.12, 1.0),3,3)
dcc.para <- c(0.01,0.98)
dcc.data <- dcc.sim(nobs, a, A, B, uncR, dcc.para, model="diagonal")
# Estimating a DCC-GARCH(1,1) model
dcc.results <- dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dcc.para,
dvar=dcc.data$eps, model="diagonal")
# Parameter estimates and their robust standard errors
dcc.results$out
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