论文要用到DCC-GARCH模型,单变量的GARCH模型已经在EVIEWS里做出来了,但是第二步的相关系数eviews做不出来,想用R做。R里面的CCGARCH程序包里给了一个例子,是这样的:
Examples# 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")## Not run: # 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## End(Not run)想知道这个代码的前面需要做什么工作,应该不是直接把原始数据读入就可以得出结果吧。另外做出来的单变量的GARCH模型是均值为0的ARMA(2,2)-GARCH(1,1)的形式。R语言刚入门,请求大神解惑,万分感谢!!