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

[alexios]

On 22/07/2011 14:13, Jacek wrote:
> 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)?
>
Correct(or whatever lag is).
> 2. if lag.max=3 then lag length will be chosen according to the information
> criterion from 1 to 3?
>
Correct.
> 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$Bcoef ?
>
VAR estimate too big to fit on screen. Yes, use 
fit at mfit$model$vrmodel$Bcoef (will add a method in next release to make 
it more easily accessible).
> 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?
Correct.
>
> 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?
>
Yes.
> Thank you in advance!
>
> Kind regards,
> Jacek
>
HTH.
Alexios
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