# VAR-aDCC full ARCH and GARCH parameter matrices in R

I am working with the rmgarch package in R and I estimated a VAR-aDCC model. Is there any way to extract the extended version of estimates (allowing for volatility spillovers)? More specific, I want the full ARCH and GARCH parameter matrices from the dccfit function of the garch package. I saw that in the ccgarch package there is this option, but the dcc package does not support the aDCC model.

Is this option available in the rmgarch package?

• garch package and dcc package? Are you sure? – Richard Hardy Apr 29 '17 at 18:13

• @KonstantinosGk, Extended specification of the $h_t$ matrix as in Extended CCC (ECCC) might make volatility spillovers possible. However, DCC uses diagonal specification of the $h_t$ matrix (not extended), thus no spillovers. – Richard Hardy Apr 30 '17 at 7:22