search

Topaceminem / DCC-GARCH

DCC GARCH modeling in Python
Apache License 2.0
81 stars 27 forks source link

array([0.005, 0.1 , 0.1 , 0.85 ]) no matter what input data #3

Open L-Zhifei opened 1 year ago

L-Zhifei commented 1 year ago

Hi, thanks for contributing the dcc-garch code. I found the problem already raised by other that when trying to impliment your code, applying the dcc-garch would only result in your initial values. I am really wondering how you managed to get different results? Thanks!

sherrychen145 commented 1 year ago

Hi, Really appreciated for writing the code for DCC-GARCH package. I've been doing a research and can't find a python version regarding it. There are only R package available for the method( as far as what I've been searching so far). However, I think I have encountered the same problem. I use different stock and get the output like this spx_model.get_theta() Out[69]: array([0.005, 0.1 , 0.1 , 0.85 ]) And the a and b are both 0.5. Is there any way we could discuss this. I'd be happy to drop my email if you're available.

larasacerqueira commented 1 month ago

Hello, I am having these issues too. How did you solve them?