Hi, I thought that a common practice is just to ommit the first period data since it does not have much influence on further results / calculations.
Cheers Marcin 2011/6/7 windseav <winds...@gmail.com> > Hi, everyone, > > I currently run into a problem about DCC-Garch model. I use the package > cc-garch and the function dcc.estimation. One of the output of this > function > is DCC matrix, which shows conditional correlation matrix at every time > period you gives. However, I cannot figue out how the function calculate > the > conditional correlation matrix at the first time period, since there is no > data to be conditioned... How do we usually deal with the first period data > of GARCH model? Could anyone suggest any paper about the DCC GARCH model, > including how to deal with the first time period data? > > Thank you all guys in advance!!!!!! > > > > -- > View this message in context: > http://r.789695.n4.nabble.com/About-DCC-garch-model-tp3579140p3579140.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
