Search found 3 matches

by George1993
Wed May 20, 2015 12:28 am
Forum: Estimation
Topic: Hedge ratio with VECM DCC GARCH
Replies: 1
Views: 1541

Re: Hedge ratio with VECM DCC GARCH

I found the add-in to use DCC, but I can't figure out how to calculate the covariance matrix of the errors, since there can output only correlation. Help me to understand. The add-in is here viewtopic.php?f=23&t=9677
by George1993
Wed May 20, 2015 12:19 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 74840

Re: DCCGARCH11

How to use this add-in to calculate the covariance matrix of errors?
by George1993
Tue May 19, 2015 12:35 am
Forum: Estimation
Topic: Hedge ratio with VECM DCC GARCH
Replies: 1
Views: 1541

Hedge ratio with VECM DCC GARCH

Hi. For asset pairs - spot and futures I need to find the hedge ratio. To find the hedge ratio I need to use 2 models: 1) VECM for describing the dynamics of spot and futures 2) On the basis of the obtained residuals of the VECM model, apply DCC GARCH model to obtain the conditional covariance matri...

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