hi all, i am using a dcc model for my senior thesis, it looks at stock returns during times of market uncertainty.
my current rfile is below. library(SparseM) library(quantreg) library(zoo) library(nortest) library(MASS) library(fEcofin) library(mvtnorm) library(ccgarch) library(stats) library(foreign) #dataset<-read.csv(file="xxxx",header=FALSE) attach(dataset); vardata=data.frame(dataset[,2],dataset[,4]) ### DCC ### #initial values a1 <- c(0.003, 0.001, 0.001) A1 <- diag(c(0.1,0.1,0.1)) B1 <- diag(c(0.1, 0.1, 0.1)) dcc.para <- c(0.01,0.98) # Estimating a DCC-GARCH(1,1) model dcc.results <- dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dcc.para, dvar=vardata, model="diagonal") # Parameter estimates and their robust standard errors dcc.results$out DCC_corr<-dcc.results$DCC[,2] plot(DCC_corr) this gives me the output results and a plot. the questions i have are 1. how do i get a plot with lines instead of dots 2. in my file i have two types of dummy variables - the first are quantiles where it is 1 if stock returns are in the lowest 5% quantile and the second dummy variable are specific events in the world economy where it is 1 if the stock return for that day happens to lie within the date range i specified for each event. i have fun the dcc without my dummy variables, but how can i incorporate my dummies into my results as i cannot find a user guide to help me any help would be greatly appreciated! thank you all! -- View this message in context: http://r.789695.n4.nabble.com/DCC-help-tp4646061.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.
