dccPre function

Preliminary Fitting of DCC Models

This program fits marginal GARCH models to each component of a vector return series and returns the standardized return series for further analysis. The garchFit command of fGarch package is used.

dccPre(rtn, include.mean = T, p = 0, cond.dist = "norm")

Arguments

• rtn: A T-by-k data matrix of k-dimensional asset returns
• include.mean: A logical switch to include a mean vector. Deafult is to include the mean.
• p: VAR order for the mean equation
• cond.dist: The conditional distribution of the innovations. Default is Gaussian.

Details

The program uses fGarch package to estimate univariate GARCH model for each residual series after a VAR(p) fitting, if any.

Returns

• marVol: A matrix of the volatility series for each return series

• sresi: Standardized residual series

• est: Parameter estimates for each marginal volatility model

• se.est: Standard errors for parameter estimates of marginal volatility models

References

Tsay (2014, Chapter 7). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

Note

fGarch package is used

See Also

dccFit