hello matlab users,
does anyone has experience with the dcc_simulate toolbox? i would like to simulate a dcc(1,1) model to ensure conditional correlations. but i have a problem with the input: dccparameters. i don't find a solution in which way it should be written. therefore the toolbox does not work.
that is my acutual function:
[finaldata,Ht,state]=dcc_simulate(2,250,[1 0.4; 0.4 1],[0.01 0.15 0.8 0.03 0.21 0.74],[1 1],[1 1],???,1,1);
that is the description of the toolbox:
function [finaldata,Ht,state,Rt, Qt]=dcc_simulate(k,t,CorrMat,garchparameters,archP,garchQ,dccparameters,dccP,dccQ);
% PURPOSE: Simulate a DCC MVGARCH time series
%USAGE: [finaldata,Ht,state]=dcc_simulate(k,t,CorrMat,garchparameters,archP,garchQ,dccparameters,dccP,dccQ);
% INPUTS:
% k - the number of series to be returned
% t - The length of the data to be returned
% CorrMat - A k by k matrix of unconditional correlation
% garchparameters - A vecotor of garch parameters for the univatiate garch processes, k+sum(archP)+sum(garchQ) by 1 of the form [omega(1) a(11) (a12) ... a(1archP(1)) b(11) ... b(1(garchQ(1)) % omega(2) ... b(2garchQ(2)) ... omega(k) ... b(kgarchQ(k))
% archP - A vector of lag lengths of the individual garch innovations [k by 1]
% garchQ - A vector of lag lengths of the individual garch AR terms [k by 1]
% dccparameters - The DCC parameters (DccP+DccQ x 1)
% dccP - The order of the DCC innovation term
% dccQ - The order of the DCC AR term
% OUTPUTS:
% finaldata - The simulated data from the entered parameters, t x k
% Ht - The estimated variance-covariance k x k x t
% state - The state of randn, so you canrecreate it if needed
thank you a lot for your help.
tobi
