DCC help

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DCC help

australiastudent
hi all,

i am using a dcc model for my senior thesis, it looks at stock returns during times of market uncertainty.

my current rfile is below.

library(SparseM)
library(quantreg)
library(zoo)
library(nortest)
library(MASS)
library(fEcofin)
library(mvtnorm)
library(ccgarch)
library(stats)
library(foreign)

#dataset<-read.csv(file="xxxx",header=FALSE)
attach(dataset);

vardata=data.frame(dataset[,2],dataset[,4])

### DCC ###

#initial values
a1 <- c(0.003, 0.001, 0.001)
A1 <- diag(c(0.1,0.1,0.1))
B1 <- diag(c(0.1, 0.1, 0.1))
dcc.para <- c(0.01,0.98)

# Estimating a DCC-GARCH(1,1) model
dcc.results <- dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dcc.para,
dvar=vardata, model="diagonal")
# Parameter estimates and their robust standard errors
dcc.results$out

DCC_corr<-dcc.results$DCC[,2]

plot(DCC_corr)

this gives me the output results and a plot.

the questions i have are

1. how do i get a plot with lines instead of dots

2. in my file i have two types of dummy variables - the first are quantiles where it is 1 if stock returns are in the lowest 5% quantile and the second dummy variable are specific events in the world economy where it is 1 if the stock return for that day happens to lie within the date range i specified for each event.

i have fun the dcc without my dummy variables, but how can i incorporate my dummies into my results as i cannot find a user guide to help me

any help would be greatly appreciated!

thank you all!
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Re: DCC help

Michael Weylandt
Forwarding to R-SIG-Finance where I believe you're likely to get more help:

In the meanwhile, I think you may wish to look at
http://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example

Finally, I note you're posting from Nabble. Please include context in
your follow-ups -- I don't believe Nabble does this automatically, so
you'll need to manually include it. Most of the regular respondents on
these lists don't use Nabble -- it is a _mailing list_ after all -- so
we don't get the forum view you do, only emails of the individual
posts. Combine that with the high volume of posts, and it's quite
difficult to trace a discussion if we all don't make sure to include
context.

Cheers,
Michael

On Sat, Oct 13, 2012 at 5:36 AM, australiastudent
<[hidden email]> wrote:

> hi all,
>
> i am using a dcc model for my senior thesis, it looks at stock returns
> during times of market uncertainty.
>
> my current rfile is below.
>
> library(SparseM)
> library(quantreg)
> library(zoo)
> library(nortest)
> library(MASS)
> library(fEcofin)
> library(mvtnorm)
> library(ccgarch)
> library(stats)
> library(foreign)
>
> #dataset<-read.csv(file="xxxx",header=FALSE)
> attach(dataset);
>
> vardata=data.frame(dataset[,2],dataset[,4])
>
> ### DCC ###
>
> #initial values
> a1 <- c(0.003, 0.001, 0.001)
> A1 <- diag(c(0.1,0.1,0.1))
> B1 <- diag(c(0.1, 0.1, 0.1))
> dcc.para <- c(0.01,0.98)
>
> # Estimating a DCC-GARCH(1,1) model
> dcc.results <- dcc.estimation(inia=a, iniA=A, iniB=B, ini.dcc=dcc.para,
> dvar=vardata, model="diagonal")
> # Parameter estimates and their robust standard errors
> dcc.results$out
>
> DCC_corr<-dcc.results$DCC[,2]
>
> plot(DCC_corr)
>
> this gives me the output results and a plot.
>
> the questions i have are
>
> 1. how do i get a plot with lines instead of dots
>
> 2. in my file i have two types of dummy variables - the first are quantiles
> where it is 1 if stock returns are in the lowest 5% quantile and the second
> dummy variable are specific events in the world economy where it is 1 if the
> stock return for that day happens to lie within the date range i specified
> for each event.
>
> i have fun the dcc without my dummy variables, but how can i incorporate my
> dummies into my results as i cannot find a user guide to help me
>
> any help would be greatly appreciated!
>
> thank you all!
>
>
>
> --
> View this message in context: http://r.789695.n4.nabble.com/DCC-help-tp4646061.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> [hidden email] 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.

______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.