Hello i'm trying to estimate a correlation matrix. The algorithm seems to work, but i have two questions. How do i test it ( do i have to necessarily perform simulations ?) . And i couldn't anderstand what the argument ts in cdcc_estimation is for.
library(rugarch) library(xdcclarge) #load data mydata= read.csv("returns.csv", header=TRUE) n<-6 mydata=mydata[,c(21,23,55,58,64,66)] # Step 1:GARCH Parameter Estimation with rugarch spec = ugarchspec() mspec = multispec( replicate(spec, n = n) ) fitlist = multifit(multispec= mspec, data = mydata) ht<-sigma(fitlist)^2 # les variances conditionnelles residuals<-residuals(fitlist) # Step 2:cDCC-GARCH Parameter Estimation with xdcclarge cDCC<-cdcc_estimation(ini.para=c(0.05,0.93) ,ht ,residuals,method="NLS", ts=1) #Time varying correlation matrix Rt at time t (Rt<-matrix(cDCC$cdcc_Rt,n,n))