F test (joint significance) for two parameters I want to test for the joint significance of two parameters (dcca1 and dccb1) estimated from a multivariate DCC GARCH model. does anyone know how to do it using R? any help is greatly appreciated.
 A: Given that the process described by the DCC-GARCH model does not exist (McAleer, 2019), there is no point in testing hypotheses about the parameters of such a nonexistant process (such as the hypothesis that both parameters are equal to zero). From Section 4 of the paper:

<...> there is no likelihood function, and hence no derivatives that would enable the derivation of asymptotic properties for the Quasi-Maximum Likelihood Estimates (QMLE) of the estimated parameters. Therefore, any statements regarding the purported “statistical signiﬁcance” of the estimated parameters are meaningless and lack statistical validity. It follows that any empirical results based on the DCC estimates are fatally ﬂawed and lack statistical validity.

(emphasis is mine).
References


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*McAleer, M. (2019). What They Did Not Tell You About Algebraic (Non-) Existence, Mathematical (IR-) Regularity and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model. Journal of Risk and Financial Management, 12(2), 61.

