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simulation of a dcc model
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hello matlab users,
does anyone has experience with the dcc_simulate toolbox? i would like to simulate a dcc(1,1) model to ensure conditional correlations. but i have a problem with the input: dccparameters. i don't find a solution in which way it should be written. therefore the toolbox does not work.
that is my acutual function:
[finaldata,Ht,state]=dcc_simulate(2,250,[1 0.4; 0.4 1],[0.01 0.15 0.8 0.03 0.21 0.74],[1 1],[1 1],???,1,1);
that is the description of the toolbox:
function [finaldata,Ht,state,Rt, Qt]=dcc_simulate(k,t,CorrMat,garchparameters,archP,garchQ,dccparameters,dccP,dccQ);
% PURPOSE: Simulate a DCC MVGARCH time series
%USAGE: [finaldata,Ht,state]=dcc_simulate(k,t,CorrMat,garchparameters,archP,garchQ,dccparameters,dccP,dccQ);
% INPUTS:
% k - the number of series to be returned
% t - The length of the data to be returned
% CorrMat - A k by k matrix of unconditional correlation
% garchparameters - A vecotor of garch parameters for the univatiate garch processes, k+sum(archP)+sum(garchQ) by 1 of the form [omega(1) a(11) (a12) ... a(1archP(1)) b(11) ... b(1(garchQ(1)) % omega(2) ... b(2garchQ(2)) ... omega(k) ... b(kgarchQ(k))
% archP - A vector of lag lengths of the individual garch innovations [k by 1]
% garchQ - A vector of lag lengths of the individual garch AR terms [k by 1]
% dccparameters - The DCC parameters (DccP+DccQ x 1)
% dccP - The order of the DCC innovation term
% dccQ - The order of the DCC AR term
% OUTPUTS:
% finaldata - The simulated data from the entered parameters, t x k
% Ht - The estimated variance-covariance k x k x t
% state - The state of randn, so you canrecreate it if needed
thank you a lot for your help.
tobi
댓글 수: 2
Jan
2013년 6월 20일
Please do not cross-post questions in different forums. This wastes the time of the voluntary helpers, when they post answers given in the other forum already. If you have good reasons for multiple postings, add a link to the other threads: http://www.gomatlab.de/viewtopic,p,116759.html#116759.
The posted documentation does not allow to understand the definition of the wanted argument. You have found this out already and this matters all other people (except for the author) also. So posting this text does not help in any way.
@Readers: Tobi has tried to contact the author already, but he does not want to answer questions.
Jan
2013년 6월 20일
편집: Jan
2013년 6월 20일
@Tobi: You close your own question?! This means that you want one of the admins or editors to check, if it collides with the forum rules?
Please don't do this. Better add an own answer and explain the solution. E.g. when theoriginal question concerns the UCSD_GARCH toolbox, note that this is deprecated and a newer version is recommended.
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