Usage
dccfit(spec, data, out.sample = 0, solver = "solnp", solver.control = list(),
fit.control = list(eval.se = TRUE, stationarity = TRUE, scale = FALSE),
cluster = NULL, fit = NULL, VAR.fit = NULL, realizedVol = NULL, ...)
Arguments
spec
A DCCspec object created by calling
dccspec. data
A multivariate data object of class xts or one which can be
coerced to such.
out.sample
A positive integer indicating the number of periods
before the last to keep for out of sample forecasting.
solver
Either nlminb, solnp, gosolnp or
lbfgs. It can also optionally be a vector of length 2 with the first
solver being used for the first stage univariate GARCH estimation (in which
solver.control
Control arguments list passed to optimizer.
fit.control
Control arguments passed to the fitting routine.
The eval.se option determines whether standard errors are calculated
(see details below). The stationarity option is for the univariate
stage GARCH fitting routine
cluster
A cluster object created by calling makeCluster from
the parallel package. If it is not NULL, then this will be used for parallel
estimation (remember to stop the cluster on completion).
fit
(optional) A previously estimated univariate
uGARCHmultifit object (see details).
VAR.fit
(optional) A previously estimated VAR object returned from
calling the varxfit function. realizedVol
Required xts matrix for the realGARCH model.