Search found 3 matches
- Wed May 20, 2015 12:28 am
- Forum: Estimation
- Topic: Hedge ratio with VECM DCC GARCH
- Replies: 1
- Views: 3748
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
- Wed May 20, 2015 12:19 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies: 121
- Views: 435381
Re: DCCGARCH11
How to use this add-in to calculate the covariance matrix of errors?
- Tue May 19, 2015 12:35 am
- Forum: Estimation
- Topic: Hedge ratio with VECM DCC GARCH
- Replies: 1
- Views: 3748
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...