I have fitted a DCC GARCH model to my multivariate financial returns data. Now, I need to compute the time-varying conditional correlation matrix by using the standardized residuals obtained from the DCC-GARCH estimation. Here, the problem is I do not know how to compute conditional correlation matrix by using standardized residuals.
Below is my reproducible code:
#load libraries library(rugarch) library(rmgarch) data(dji30retw) Dat = dji30retw[, 1:8, drop = FALSE] uspec = ugarchspec(mean.model = list(armaOrder = c(0,0)), variance.model = list(garchOrder = c(1,1), model = "eGARCH"), distribution.model = "norm") spec1 = dccspec(uspec = multispec(replicate(8, uspec)), dccOrder = c(1,1), distribution = "mvnorm") fit1 = dccfit(spec1, data = Dat) print(fit1)
My question: Is it possible to obtain the time-varying conditional correlation matrix as well as variance of the returns, by using standardized residuals obtained from the DCC-GARCH estimation? I have tried the following code without residuals, but not sure whether it is correct or not:
Kindly help me to get the time-varying correlation matrix by using the standardized residuals. I also need help to obtain the variances of each individual returns.
A kind help will be highly appreciated.
Thanks in advance.