Forwarding to R-SIG-Finance where I believe you're likely to get more help:
In the meanwhile, I think you may wish to look at http://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example Finally, I note you're posting from Nabble. Please include context in your follow-ups -- I don't believe Nabble does this automatically, so you'll need to manually include it. Most of the regular respondents on these lists don't use Nabble -- it is a _mailing list_ after all -- so we don't get the forum view you do, only emails of the individual posts. Combine that with the high volume of posts, and it's quite difficult to trace a discussion if we all don't make sure to include context. Cheers, Michael On Sat, Oct 13, 2012 at 5:36 AM, australiastudent <martin.d...@student.adelaide.edu.au> wrote: > 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. ______________________________________________ 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.
