This function returns dynamic conditional correlations based on the parameters specified.
Usage
dcc.est(dvar, param)
Arguments
dvar
a matrix of the standardised residuals $(T \times N)$
param
a vector of the DCC parameters $(2 \times 1)$
Value
a list with components:
DCCa matrix of the dynamic conditional correlations $(T \times N^{2})$
Qa matrix of the $\mathbf{Q}_{t}$ $(T \times N^{2})$
References
Engle, R.F. and K. Sheppard (2001),
Theoretical and Empirical Properties of Dynamic
Conditional Correlation Multivariate GARCH.Stern Finance Working Paper Series
FIN-01-027 (Revised in Dec. 2001),
New York University Stern School of Business.
Engle, R.F. (2002),
Dynamic Conditional Correlation: A Simple Class of
Multivariate Generalized Autoregressive Conditional
Heteroskedasticity Models.Journal of Business and Economic Statistics20, 339--350.