cdcc_correlations {xdcclarge}

This function get the correlation matrix (Rt) of estimated cDCC-GARCH model.

Description

This function get the correlation matrix (Rt) of estimated cDCC-GARCH model.

Usage

cdcc_correlations(param, stdresids, uncR, ts)

Arguments

param

cDCC-GARCH parameters(alpha,beta)

stdresids

matrix of standrdized(De-GARCH) residual returns (T by N)

uncR

unconditional correlation matrix of stdresids (N by N)

ts

ts how many time series are you taking

Value

the correlation matrix (Rt) of estimated cDCC-GARCH model (T by N^2)

Note

Rt are vectorized values of the conditional correlation matrix(Rt) until time t(ts) for each row.