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I have just run a DCC GARCH model in R and am trying to interpret the output. I have run the model with 3 time series. I know that alpha and beta tell about the short- and long-term spillover effect. However, I only get one dcca1 and dccb1 even though the values of dcca1 and dccb1 should be different for the different time series. So what do dcca1 and dccb1 tell me?

This is the output

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Unfortunately, most of your interpretations are mistaken.

  1. DCC model does not allow for volatility spillovers. If you want a model that does, consider e.g. the BEKK model.
  2. dcca1 and dccb1 are the two parameters of the DCC equation that show the relative weights of standardized errors at time $t-1$ (dcca1) and the conditional correlation matrix at time $t-1$ (dccb1). There are no other parameters specific to the DCC. The other parameters you see in the R output are from the individual conditional mean equations (the ones ending with mu) and the conditional variance equations due to GARCH (the ones ending with omega, alpha1 and beta1). For more details, see p. 3-5 of the rmgarch vignette.
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