cdcc_correlations function

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

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

Returns

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.