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 <

[hidden email]>

> 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!!!!!!

>

>

>

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