# NOT RUN {
library(rugarch)
library(xdcclarge)
#load data
data(us_stocks)
n<-3
Rtn<-log(us_stocks[-1,1:n]/us_stocks[-nrow(us_stocks),1:n])
# Step 1:GARCH Parameter Estimation with rugarch
spec = ugarchspec()
mspec = multispec( replicate(spec, n = n) )
fitlist = multifit(multispec = mspec, data = Rtn)
ht<-sigma(fitlist)^2
residuals<-residuals(fitlist)
# Step 2:DCC-GARCH Parameter Estimation with xdcclarge
DCC<-dcc_estimation(ini.para=c(0.05,0.93) ,ht ,residuals)
#Time varying correlation matrix Rt at time t
(Rt<-matrix(DCC$dcc_Rt,n,n))
# }
# NOT RUN {
#If you want Rt at time t-s,then
s<-10
DCC<-dcc_estimation(ini.para=c(0.05,0.93) ,ht ,residuals,ts = s)
matrix(DCC$cdcc_Rt[s,],n,n)
# }
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