Search found 4 matches

by Shelly
Thu Jul 09, 2015 2:25 pm
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 77
Views: 83967

Re: Dynamic conditional correlation multivariate GARCH

If we want to calculate time varying correlation between various asset class from 2006-2009 and if our purpose is not forecasting but analysis & inference based on historical data, then out of these two options which one is appropriate 1. Estimate the Univariate GARCH for the entire time span (2...
by Shelly
Thu Jul 09, 2015 2:24 pm
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 77
Views: 83967

Re: Dynamic conditional correlation multivariate GARCH

What is the most appropriate input to DCC GARCH- DLOG(series), Resid from ARMA modelling of dlog(series) or Resid from ARIMA modelling of price series? While estimating DCC GARCH whether we should start with the dlog(series) and then estimate GARCH and DCC Counterpart OR we should do ARMA modelling ...
by Shelly
Wed Jul 08, 2015 2:30 pm
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 74840

Re: DCCGARCH11

If we want to calculate time varying correlation between various asset class from 2006-2009 and if our purpose is not forecasting but analysis & inference based on historical data, then out of these two options which one is appropriate 1. Estimate the Univariate GARCH for the entire time span (2...
by Shelly
Wed Jul 08, 2015 2:27 pm
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 74840

Re: DCCGARCH11

What is the most appropriate input to DCC GARCH- DLOG(series), Resid from ARMA modelling of dlog(series) or Resid from ARIMA modelling of price series? While estimating DCC GARCH whether we should start with the dlog(series) and then estimate GARCH and DCC Counterpart OR we should do ARMA modelling ...

Go to advanced search