在R中拟合DCC Garch模型

我试图运行DCC多变量GARCH模型。当我运行模型时，它只显示GARCH部分的统计数据，但我也需要VAR部分的统计数据。有谁知道该怎么做？在R中拟合DCC Garch模型

这是我的家常便饭：

library(parallel) 
library(rugarch) 
library(rmgarch) 
library("tseries") 
library("zoo") 
library("forecast") 
library("FinTS") 
library("vars") 
library("MTS" 

uspec.n = multispec(replicate(3, ugarchspec(mean.model = list(armaOrder = c(1,1))))) 
dcc.11mn = dccspec(uspec.n, VAR = TRUE, lag = 4, lag.max = 12, dccOrder = c(1, 1), distribution = 'mvnorm') 
fit.2.11mn = dccfit(dcc.11mn, data = B [1:192, 1:3])

这是我的结果：

---------------------------------* 
*   DCC GARCH Fit   * 
*---------------------------------* 

Distribution   : mvnorm 
Model    : DCC(1,1) 
No. Parameters  : 26 
[VAR GARCH DCC UncQ] : [12+9+2+3] 
No. Series   : 3 
No. Obs.    : 192 
Log-Likelihood  : -777.3919 
Av.Log-Likelihood : -4.05 

Optimal Parameters 
----------------------------------- 
       Estimate Std. Error t value Pr(>|t|) 
[rtc].omega 0.000103 0.000092 1.128480 0.259117 
[rtc].alpha1 0.299707 0.172126 1.741210 0.081647 
[rtc].beta1 0.594874 0.212706 2.796699 0.005163 
[ei].omega  0.014031 0.006434 2.180585 0.029214 
[ei].alpha1 0.793922 0.223400 3.553810 0.000380 
[ei].beta1  0.205078 0.111009 1.847400 0.064689 
[i2].omega 682.273357 833.174186 0.818884 0.412852 
[i2].alpha1 0.218414 0.061933 3.526637 0.000421 
[i2].beta1  0.726249 0.082908 8.759650 0.000000 
[Joint]dcca1 0.000000 0.000000 0.000032 0.999974 
[Joint]dccb1 0.923723 0.121097 7.627947 0.000000

但对于VAR的统计数据？

来源

2016-08-01 Luis

请参阅rmgarch包的varfit函数，例如lags=4。

V<-varxfit(data, 4, constant = TRUE) 
show(V) 
and you must correct the dccspec function as below: 
dcc.11mn = dccspec(uspec.n, VAR = TRUE, lag = 4, lag.max = 12, dccOrder = c(1, 1), distribution = 'mvnorm', VAR.fit=V, out.sample=4)

来源

2017-04-29 00:09:31

在R中拟合DCC Garch模型

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