[R-SIG-Finance] rgarch package - VAR in DCC model example

[Jacek]

Thank you very much Alexios.

May I just ask a few questions related to this code:

1. lag.max=NULL means you force the lag length to be equal 1 (lag=1)?

2. if lag.max=3 then lag length will be chosen according to the information
criterion from 1 to 3?

3. if after this code you write "fit" then you see univariate and DCC
estimates but no VAR (why?). Is this is the right why to get them:
fit at mfit$model$vrmodel$Bcoef ?

4. "see ?dccfit for option of passing the VAR estimate seperately at this
stage" - using varxfilter? But varxfilter doesn't find the optimal lag
length right? 

5. In the desription to rgarch package is writen that "For high frequency
data, the user should make use of non-named representation such as matrix".
So if I want to use it for intraday data this code should be working as it
is?

Thank you in advance!

Kind regards,
Jacek

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