dcc_correlations {xdcclarge}

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

Description

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

Usage

dcc_correlations(param, stdresids, uncR, ts)

Arguments

param

DCC-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 DCC-GARCH model (T by N^2)

Note

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