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?

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

I do not think you can model spillovers with the DCC model. Unlike BEKK, in DCC the conditional variance of each asset depends only on its own past, not on the past of other assets' conditional variances. Thus no spillovers.

  • $\begingroup$ That was also my point of view. But reading the following presentation I got a bit confused. r-project.org/conferences/useR-2008/slides/Nakatani.pdf $\endgroup$ – Konstantinos Gk Apr 29 '17 at 21:11
  • $\begingroup$ @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. $\endgroup$ – Richard Hardy Apr 30 '17 at 7:22
  • $\begingroup$ the EDDC (Extended DCC) in what does it refer? $\endgroup$ – Konstantinos Gk Apr 30 '17 at 12:40
  • $\begingroup$ @KonstantinosGk, I do not understand your question. $\endgroup$ – Richard Hardy Apr 30 '17 at 13:53

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