# [r] How to obtain the correlation coefficients between two variables in the R object

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## [r] How to obtain the correlation coefficients between two variables in the R object

 Dear R-users, I am estimating the DCC-model by using the following code and successfully making the individual plots indicating the dynamic correlation between the two variables stored in the R data frame (namely dcc.fit in my code). My code is Dat = Date2[,2:13, drop = FALSE] library(rmgarch) library(rugarch) xspec = ugarchspec(mean.model = list(armaOrder = c(1, 1)), variance.model = list(garchOrder = c(1,1), model = 'eGARCH'), distribution.model = 'norm') uspec = multispec(replicate(12, xspec)) # Define a function using xspec dcc.garch11spec = dccspec(uspec = uspec, dccOrder = c(1, 1), distribution = 'mvnorm') dcc.fit = dccfit(dcc.garch11spec, data = Dat) r1=rcor(dcc.fit, type="R") print(r1) Here, I need to obtain the DCC relationship between the two variables. I successfully make a separate plot for the correlation between the two variables with the following code. plot(rcor(dcc.fit, type="R")['A1','A2',], type='l') plot(rcor(dcc.fit, type="R")['B1','B2',], type='l') plot(rcor(dcc.fit, type="R")['C1','C2',], type='l') plot(rcor(dcc.fit, type="R")['D1','D2',], type='l') plot(rcor(dcc.fit, type="R")['E1','E2',], type='l') plot(rcor(dcc.fit, type="R")['F1','F2',], type='l') Here, I request your help on two things which I am unable to do. 1. I need to arrange all the above individual plots (counted as 6) on one page. 2. I need to obtain the correlation coefficients between the particular two variables (i.e. A1 versus A2, B1 versus B2, .......so on) throughout the entire period. For your convenience, I have attached my sample data. I definitely expect a positive help from the experts as the suggestions from the expert through this R forum has always solved my previous problem. Thank you. -- *Best Regards,* *Subhamitra Patra* *Phd. Research Scholar* *Department of Humanities and Social Sciences* *Indian Institute of Technology, Kharagpur* *INDIA* [image: Mailtrack] Sender notified by Mailtrack 11/25/19, 04:00:39 PM ______________________________________________ [hidden email] mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.
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## Re: [r] How to obtain the correlation coefficients between two variables in the R object

 To get multiple plots on the same physical page try ?layout ot look through the various option under ?par I do not know enough about DCC models to answer how you get correlations. Michael On 25/11/2019 10:34, Subhamitra Patra wrote: > Dear R-users, > > I am estimating the DCC-model by using the following code and successfully > making the individual plots indicating the dynamic correlation between the > two variables stored in the R data frame (namely dcc.fit in my code). My > code is > > Dat = Date2[,2:13, drop = FALSE] > library(rmgarch) > library(rugarch) > xspec = ugarchspec(mean.model = list(armaOrder = c(1, 1)), variance.model = > list(garchOrder = c(1,1), model = 'eGARCH'), distribution.model = 'norm') > uspec = multispec(replicate(12, xspec)) # Define a function using xspec > dcc.garch11spec = dccspec(uspec = uspec, dccOrder = c(1, 1), distribution = > 'mvnorm') > dcc.fit = dccfit(dcc.garch11spec, data = Dat) > r1=rcor(dcc.fit, type="R") > print(r1) > > Here, I need to obtain the DCC relationship between the two variables. I > successfully make a separate plot for the correlation between the two > variables with the following code. > plot(rcor(dcc.fit, type="R")['A1','A2',], type='l') > plot(rcor(dcc.fit, type="R")['B1','B2',], type='l') > plot(rcor(dcc.fit, type="R")['C1','C2',], type='l') > plot(rcor(dcc.fit, type="R")['D1','D2',], type='l') > plot(rcor(dcc.fit, type="R")['E1','E2',], type='l') > plot(rcor(dcc.fit, type="R")['F1','F2',], type='l') > > Here, I request your help on two things which I am unable to do. > > 1. I need to arrange all the above individual plots (counted as 6) on one > page. > 2. I need to obtain the correlation coefficients between the particular two > variables (i.e. A1 versus A2, B1 versus B2, .......so on) throughout the > entire period. > > For your convenience, I have attached my sample data. > > I definitely expect a positive help from the experts as the suggestions > from the expert through this R forum has always solved my previous problem. > > Thank you. > -- Michael http://www.dewey.myzen.co.uk/home.html______________________________________________ [hidden email] mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.