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Applied Network Science

Table 3 DCC parameter estimation results

From: Dynamic correlation network analysis of financial asset returns with network clustering

 

m, n

a1

b1

b2

[b1+b2]

η

Estimate

1, 2

0.0259

0.5549

0.3855

[0.9404]

13.0

(P-value)

 

(0.0000)

(0.0000)

(0.0000)

 

(0.0000)

  1. Note: The DCC order (m, n) and parameters a 1, b 1, and b 2 are defined in (6). η is the shape parameter of the Student t-copula in (10). The R (http://cran.r-project.org/) package “rmgarch” Ghalanos (2014) is used for the parameter estimation
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