Residuals of a DCC GARCH model (MFE Toolbox)

Hi guys,

I'm having a small problem obtaining the residuals from the DCC GARCH model I'm trying to estimate. I'm using the dcc.m function from the MFE toolbox and the function takes a matrix of zero mean residuals as the input (that is why i demean the simulated returns in the code below). However, I am wondering is it possible to obtain the post-estimation residuals? I am pretty certain it is possible in R using residuals() on a dcc.fit object from the rmgarch package. Is something like that possible in Matlab as well?

I'm including a piece of reproducible code:

Mdl = garch('Constant',0.01,'GARCH',0.7,'ARCH',0.25)
rng default; 
sims=zeros(500,5);
for i= 1:5
[Vn,Yn] = simulate(Mdl,500);
sims(:,i)=Vn-mean(Vn);
end
[parameters, ll ,Ht, VCV, scores, diagnostics]=dcc(sims,[],1,0,1,1,0,1,2,'2-stage','None',[],[]);

I know the simulation is not perfect and well optimized, but I just needed to create some sample data :) I would be grateful for any help regarding the matter!

[Jzbucki]

I would be really grateful for any help :)

Answer 1

[RP]

Hi,

I am using matlab 2017 version. I have 1 query that is MFE-toolbox additionally installed in matlab 2017 version?

Please suggest.

[Walter Roberson]

The MFE Toolbox appears to be third-party; https://www.kevinsheppard.com/MFE_Toolbox