Volatility · Time-Varying Correlation
rolling_dcc
DCC-GARCH Dynamic Correlation. Engle (2002) DCC-GARCH(1,1) time-varying conditional correlations across 2–4 series (rmgarch); returns the per-pair correlation-path summary.
Identity
version 1.0.0 · capability volatility · min_obs 100 · runner r (rolling_dcc.R)
Primitives
—
Composes with
not yet a catalog field — operator-composition metadata lands with Pathway F; nothing is invented here.
Parameters
| name | type | req | values / range |
|---|
| series | series (n=2–4) | required | |
Returns
method,dataset,series,n,model,pairs,interpretation
Paper
none — honest: a substrate method; no single companion paper claims it.
Changelog
[object Object]
Run it
curl -s -X POST https://shssm-compute-b7ui3oxaqq-el.a.run.app/api/compute/run \
-H "Content-Type: application/json" \
-d '{"method":"rolling_dcc","params":{"series":["India","USA"]}}'