How to interpret the outputs of DCC Multivariate GARCH
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I want to run a dcc.m code of the MFE Kevin Sheppard toolbox by giving the following code:
I've got 4 variables (see attached file). By runing the code, everything goes well and I get the estimated parameters in "PARAMETERS". But I'm having difficulties in understanding the outputs "VCV" and "SCORES". The explanations in the code are not sufficient.
I know that a DCC Multivariate GARCH is designed as follows:
H(t)=D(t)*R(t)*D(t) and R(t)= diag[Q(t)^1/2] * Q(t) * diag[Q(t)^1/2]
where R(t) peresents the conditional correlation matrix.
I want finally to plot the dynamic correlations, in other words I have to plot the values of the R(t) matrix. But where is the R(t) in the outputs of this code?
Can anybody help me please?
Weidong Lin on 12 Jan 2018
Actually the Rt is in the output of the function dcc_likelihood(), which is used inside of the dcc(). If you want to display the Rt, just simply add 'Rt' into the output option, i.e., [parameters, ll ,Ht, Rt, VCV, scores, diagnostics]=dcc(...)
Hope it works for you.