I am working with the rmgarch package in R and I estimated a VAR-aDCC model. Is there any way to extract the extended version of estimates (allowing for volatility spillovers)? More specific, I want the full ARCH and GARCH parameter matrices from the dccfit function of the garch package. I saw that in the ccgarch package there is this option, but the dcc package does not support the aDCC model. I…
In the paper "The GARCH OPTION PRICING MODEL", Duan(1995) developed a pricing model for options on an asset whose returns follow GARCH process. Let $X_t$ be the asset price at time t, its process is modeled under physical measure P as GARCH(1,1)-M: $$
ln(\frac{X_t}{X_{t-1}})=r+\lambda \sqrt{h_t} -0.5h_t+\epsilon_t \quad (2.1)\\
\epsilon_t|\phi_{t-1} \sim N(0,h_t) \\
h_t = \alpha_0 +\alpha_1 \epsi…
