Search found 3 matches

by jeremym
Sat Apr 05, 2014 10:13 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 77
Views: 89731

Re: Dynamic conditional correlation multivariate GARCH

Hi, thank you for your answer. Now, I'm asking some questions about my model. My goal is to analyse the evolution of the links between stock volatility and commodity volatility using a DCC GARCH model. So, what do I need to use ? The conditional correlations or the conditional variances ? How do we ...
by jeremym
Wed Apr 02, 2014 1:43 pm
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 77
Views: 89731

Re: Dynamic conditional correlation multivariate GARCH

Hello, I try to use the add-in and I have one question about it. There are two parameters in the model of engle: alpha and beta. IF Alpha + Beta tends to 1, then the correlations are persistent. I can't find in the "files" : dccout, rho ... created by the add-in the value of theses paramet...
by jeremym
Mon Mar 24, 2014 4:52 am
Forum: Estimation
Topic: GARCH DCC model
Replies: 0
Views: 1205

GARCH DCC model

Hello, I'm a student in finance. I'm french, so excuse me if it's not a perfect english. I have to build up a model to model the movements of the conditionnal correlations in the time where correlations are time varying. I make my project on e-views. I need to create a GARCH DDC Model . I don't unde...

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