Execute the following steps to estimate a DCC-GARCH model in Python (using R).
- Import the library:
%load_ext rpy2.ipython
- Install the rmgarch R package (run only once) and load it:
%%R#install.packages('rmgarch', repos = "http://cran.us.r-project.org")library(rmgarch)
- Import the dataset into R:
%%R -i returnsprint(head(returns))
Using the preceding command, we print the first five rows of the R data.frame:
- Define the model specification:
%%R # define GARCH(1,1) model univariate_spec <- ugarchspec( mean.model = list(armaOrder = c(0,0)), variance.model = list(garchOrder = c(1,1), model = "sGARCH"), distribution.model ...