Re: [R] DCC-GARCH model

2012-06-28 Thread andy
Hello Marcin, did you get the answer to your questions. I have the same questions and would appreciate your help if you found the answers. Thanks, Ankur -- View this message in context: http://r.789695.n4.nabble.com/DCC-GARCH-model-tp3524387p4634776.html Sent from the R help mailing list archi

Re: [R] DCC-GARCH model

2012-02-23 Thread John Kerpel
Also see the most excellent rmgarch package from A*lexios Ghalanos *available here: https://r-forge.r-project.org/R/?group_id=339 On Thu, Feb 23, 2012 at 9:41 AM, vnatanel wrote: > Dear Marcin, > > > This document should clarify your questions: > > http://www.google.be/url?sa=t&rct=j&q=ccgar

Re: [R] DCC-GARCH model

2012-02-23 Thread vnatanel
Dear Marcin, This document should clarify your questions: http://www.google.be/url?sa=t&rct=j&q=ccgarch%3A%20an%20r%20package%20for%20building%20multivariate%20garch&source=web&cd=1&ved=0CCMQFjAA&url=http%3A%2F%2Fhhs.diva-portal.org%2Fsmash%2Fget%2Fdiva2%3A320449%2FFULLTEXT02&ei=8V1GT_uDDcLq8QOW

[R] DCC-GARCH model

2011-05-23 Thread Marcin P?�ciennik
Hello, I have a few questions concerning the DCC-GARCH model and its programming in R. So here is what I want to do: I take quotes of two indices - S&P500 and DJ. And the aim is to estimate coefficients of the DCC-GARCH model for them. This is how I do it: library(tseries) p1 = get.hist.quote(ins

[R] DCC-GARCH model

2011-05-18 Thread Marcin P?�ciennik
Hello, I have a few questions concerning the DCC-GARCH model and its programming in R. So here is what I want to do: I take quotes of two indices - S&P500 and DJ. And the aim is to estimate coefficients of the DCC-GARCH model for them. This is how I do it: library(tseries) p1 = get.hist.quote(ins

[R] DCC-GARCH model

2011-05-15 Thread Marcin P?�ciennik
Hello, I have a few questions concerning the DCC-GARCH model and its programming in R. So here is what I want to do: I take quotes of two indices - S&P500 and DJ. And the aim is to estimate coefficients of the DCC-GARCH model for them. This is how I do it: library(tseries) p1 = get.hist.quote(ins

[R] DCC-GARCH model and AR(1)-GARCH(1,1) regression model

2011-05-14 Thread Marcin P?�ciennik
Hello, I have a rather complex problem... I will have to explain everything in detail because I cannot solve it by myself...i just ran out of ideas. So here is what I want to do: I take quotes of two indices - S&P500 and DJ. And my first aim is to estimate coefficients of the DCC-GARCH model for th

[R] DCC-GARCH model and AR(1)-GARCH(1,1) regression model

2011-05-12 Thread Marcin P?�ciennik
Hello, I have a rather complex problem... I will have to explain everything in detail because I cannot solve it by myself...i just ran out of ideas. So here is what I want to do: I take quotes of two indices - S&P500 and DJ. And my first aim is to estimate coefficients of the DCC-GARCH model for th

[R] DCC-GARCH model and AR(1)-GARCH(1, 1) regression model - help needed..

2011-05-10 Thread Marcin P?�ciennik
Hello, I have a rather complex problem... I will have to explain everything in detail because I cannot solve it by myself...i just ran out of ideas. So here is what I want to do: I take quotes of two indices - S&P500 and DJ. And my first aim is to estimate coefficients of the DCC-GARCH model for th

[R] DCC Garch model estimation

2009-10-16 Thread liwenkai1986
Hi all: I am a master student writing my master thesis about using the DCC garch model analysing the correlation between the insurance stock market and the local market. Right now I have a question about how to estimate the DCC garch, I know all the other meanings of the arguments in the