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Residuals of a DCC GARCH model (MFE Toolbox)

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Jzbucki
Jzbucki on 7 Aug 2015
Commented: Walter Roberson on 31 Aug 2019
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!

Answers (1)

RP
RP on 13 Jan 2018
Hi,
I am using matlab 2017 version. I have 1 query that is MFE-toolbox additionally installed in matlab 2017 version?
Please suggest.

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