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