Hi Arun, thank you so much for your reply. I have tried to use cor() function in R to calculate the unconditional correlation matrix of my time series, but it is not the same as the calculated first period Dynamic Conditional Correlation matrix by the function dcc.estimation...I don't know why....
Besides, is this function very slow, because of the optimization methods? I tried 30 time series with 771 time periods, and the function runned for one and half hours under the windows and even cannot get a result... Thank you!! -- View this message in context: http://r.789695.n4.nabble.com/About-DCC-garch-model-tp3579140p3579909.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.
