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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