Help witch code to estimate CCC Garch

General
1

0

I am using R code to estimate the DCC garch as follow:

mod2 <- ugarchspec(mean.model = list(armaOrder = c(0,0)),variance.model = list(model = "gjrGARCH",garchOrder=c(1,1)), distribution.model = "sstd")

dcc.garch = dccspec(uspec = multispec(replicate(3, mod2)), dccOrder = c(1, 1), distribution = "mvt")

dcc.fit <- dccfit(dcc.garch, data = Return_daily)
dcc.fit

But I don't know what the code for CCC is, and how to conclude which model outperforms the other? Anyone please help me

2

Did you have a look at the documentation of the functions you use?

You don't specify to which package the functions belong, but often there is a vignette that describes the use of the functions in conjunctation. How to see if there are any of these:

  • Type e.g. ?ugarchspecin the console panel of RStudio.
    The documentation of the function will be shown in the help panel.
  • Scroll down to the last part of the document in the help panel and you will see a link to the 'index' of the package documentation.
  • In the index you will always see a DESCRIPTION file and often a link to 'User guides, package vignettes and other documentation'.
  • The more modern packages often have one or more vignettes under this link.
3

Thank you for your reply. Of course I have searched for many documentation and there is no result about CCC GARCH, (only DCC GARCH included)

4

Google : ccc garch model in r
https://rdrr.io/rforge/ccgarch2/man/estimateCCC.html

5

If you cannot help, please just ignore the post. I did have a look on this website before and I cannot apply their function in my project.

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