风雪里的战士 发表于 2014-7-1 23:42 
怎么用R实现啊 ，亲 ，急求程序 谢谢
l=read.table("d:/ll/data2.txt",header=T)
l=as.matrix(l)
ll=matrix(NA,nrow(l)-1,ncol(l))
for(i in 1:nrow(l)-1){for(j in 1:ncol(l)){ll[i,j]=log(l[i+1,j])-log(l[i,j])}}
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))
dcc.para <- c(0.01,0.98)
library(ccgarch)
results=dcc.estimation(inia=a,iniA=A,iniB=B,dvar=ll,ini.dcc=dcc.para,model="diagonal")
DCC1=array(NA,dim=c(3,3,nrow(results$DCC)))
for(i in 1:nrow(results$DCC)){DCC1[,,i]=matrix(results$DCC[i,])}
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