刚学会用rats做dcc-garch模型,但是动态条件相关系数图的代码一直没找到,求大神指教!!模型估计如下:
garch(p=1,q=1,mv=dcc) / sc cyb
MV-GARCH, DCC - Estimation by BFGS
Convergence in 32 Iterations. Final criterion was 0.0000050 <= 0.0000100
Usable Observations 1199
Log Likelihood 6524.2456
Variable Coeff Std Error T-Stat Signif
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1. Mean(1) 0.0002944749 0.0004819133 0.61105 0.54116408
2. Mean(2) 0.0005644115 0.0006416014 0.87969 0.37902628
3. C(1) 0.0000067025 0.0000017215 3.89345 0.00009883
4. C(2) 0.0000109331 0.0000030378 3.59902 0.00031942
5. A(1) 0.0502840687 0.0078318846 6.42043 0.00000000
6. A(2) 0.0536812181 0.0083193159 6.45260 0.00000000
7. B(1) 0.9279551317 0.0104263836 89.00067 0.00000000
8. B(2) 0.9260423887 0.0112911874 82.01462 0.00000000
9. DCC(1) 0.0477111292 0.0074039505 6.44401 0.00000000
10. DCC(2) 0.9504227009 0.0082498188 115.20528 0.00000000