Dear Windseav, I found that it is quite subjective because the effect of initial value will dilute after couple of time periods, hence whatever value you put there never matters. However I found that common practice is to put the unconditional variance/covariance/correlation for the first period. I can recall (sometimes back I probably checked) that fgarch package (or may be something related, I cant recall now) put average sum-square of the observations as the estimated variance for the 1st period.
Thanks, _____________________________________________________ Arun Kumar Saha, FRM QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST Visit me at: http://in.linkedin.com/in/ArunFRM _____________________________________________________ -- View this message in context: http://r.789695.n4.nabble.com/About-DCC-garch-model-tp3579140p3579489.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
