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I want to estimate DCC GARCH model in R. I have data which contains 340 observation and 10 variables. Those are the logarythimc return rates of my data:

[enter image description here][1]

# univariate normal GARCH(1,1) for each series
garch11.spec = ugarchspec(mean.model = list(armaOrder = c(0,0)), 
                          variance.model = list(garchOrder = c(1,1), 
                                                model = "sGARCH"), 
                          distribution.model = "norm")

# dcc specification - GARCH(1,1) for conditional correlations
dcc.garch11.spec = dccspec(uspec = multispec( replicate(10, garch11.spec) ), 
                           dccOrder = c(1,1), 
                           distribution = "mvnorm")
dcc.garch11.spec


dcc.fit = dccfit(dcc.garch11.spec, data = data)

When I make my code starts, it goes more than few days and doesnt finish. What can I improve or change to get the finished code faster?

Progman
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kasandraaa
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1 Answers1

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Faced the same problem)) This is clearly not a problem with the data and the complexity of the model. In my case, two things were done: 1) updating all packages; 2) system reboot. After that, everything worked in a couple of seconds.

Sergey
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  • This does not really answer the question. If you have a different question, you can ask it by clicking [Ask Question](https://stackoverflow.com/questions/ask). To get notified when this question gets new answers, you can [follow this question](https://meta.stackexchange.com/q/345661). Once you have enough [reputation](https://stackoverflow.com/help/whats-reputation), you can also [add a bounty](https://stackoverflow.com/help/privileges/set-bounties) to draw more attention to this question. - [From Review](/review/late-answers/31441707) – GGamba Apr 05 '22 at 12:49