I have 5 series for which I want to analyze volatility spillover (to and from the series) via VARX DCC GARCH for both dynamic and comtemporaneous effect. Moreover, I would like to analyze seasonal dummy effect and past return effect both in volatility and return. Here is my code-
varfit <- varxfit(data.merged.week[,c(2,4:7)],1, constant=TRUE, exogen=
cbind(Winter= wSeason_Dummy$winter, Spring =
wSeason_Dummy$spring, Summer=wSeason_Dummy$summer))
wnspecV <- ugarchspec(variance.model = list(model = "sGARCH",
garchOrder = c(1, 1),
external.regressors = as.matrix(wdummy)),
distribution.model ="norm",
mean.model = list(armaOrder = c(0,0)),
include.mean=FALSE)
wnspec1 <- multispec(c(replicate(5, wnspecV)))
wvardccspecmv1 <- dccspec(uspec = wnspec1,VAR = TRUE, lag = 1,
lag.criterion = c("AIC"),
dccOrder = c(1, 1),
model="DCC",
external.regressors = NULL,
distribution = "mvnorm")
wvardccfit1 <- dccfit(wvardccspecmv1, data= as.matrix (data.merged.week
[,c(2,4:7)],
solver = "solnp",
fit.control = list(eval.se=TRUE),
VAR.fit = varfit, out.sample = 1)
When I run the model, I don't see any seasonal dummy effect for mean equation. Moreover, I was expecting to get estimates and p-values for ARCH effect of one series on another series via conditional mean and variance equation (for example as A.I. Maghyereh et al. 2017 https://westminsterresearch.westminster.ac.uk/item/q3450/volatility-spillovers-and-cross-hedging-between-gold-oil-and-equities-evidence-from-the-gulf-cooperation-council-countries or as S.Kumar et al. 2019). However, I can only view one alpha1/arch for each series rather than spillover from one to another. Is there any particular way to retrieve those ARCH effects(one series on another series) of mean and variance equation? I would also like to know whether it's possible to run VARMAX DCC GARCH in R. Thanking in advance. @RichardHardy