question on rmgarch

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question on rmgarch

Leonardo Bargigli
Dear all,
in "dccspec" it's possible to fit a VAR model for the conditional mean
using the VAR = TRUE keyword.
My question is: how does this option relates to the conditional mean
specification that is required from the uGARCHmultispecobject?
Thanks a lot!
Leonardo
(University of Florence)

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Re: question on rmgarch

alexios
In the case of VAR, the univariate specification for the conditional
mean should be set to not estimate anything i.e. include.mean=FALSE and
armaOrder=c(0,0).

Alexios

On 6/7/19 5:34 AM, Leonardo Bargigli wrote:

> Dear all,
> in "dccspec" it's possible to fit a VAR model for the conditional mean
> using the VAR = TRUE keyword.
> My question is: how does this option relates to the conditional mean
> specification that is required from the uGARCHmultispecobject?
> Thanks a lot!
> Leonardo
> (University of Florence)
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>

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