industry_themes_dcc
Estimates time-varying conditional correlations between industry themes using DCC-GARCH, identifying pairs with strengthening or weakening linkages.
Instructions
DCC-GARCH 时变条件相关 — 估计行业间动态相关性矩阵,识别联动加强/减弱的行业对。计算较慢(约30s),返回JSON。
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| window | No | 收益率回看窗口(交易日) |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |