tracy272523 发表于 2013-1-28 00:18
很好很好,问题解决了,非常感谢老师
我还想请教下就是,如果我想在DCC模型里面加点东西,比如说换成AG ...
要加入asymmetric,
可以试试 package "rmgarch",
dccspec()-Method for creating a DCC-GARCH specification object prior to fitting.
dccspec(uspec, VAR = FALSE, robust = FALSE, lag = 1, lag.max = NULL,
lag.criterion = c("AIC", "HQ", "SC", "FPE"), external.regressors = NULL,
robust.control = list(gamma = 0.25, delta = 0.01, nc = 10, ns = 500),
dccOrder = c(1, 1),
asymmetric = FALSE, type = c("2-step", "1-step"),
distribution = c("mvnorm", "mvt", "mvlaplace"), start.pars = list(),
fixed.pars = list())