Residuals of a DCC GARCH model (MFE Toolbox)

Question

Jzbucki 2015-8-7

1
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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/232706-residuals-of-a-dcc-garch-model-mfe-toolbox

评论： Walter Roberson 2019-8-31

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!