Search found 4 matches

by selmrog
Mon Jun 15, 2015 7:26 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 81258

Re: DCCGARCH11

Dear Trubador, thanks for your help. If I use the single nxn covariance matrix I can use the final estimations, since this model calculates the current correlation between variables as a function of past realisations of volatility within the variables as well as the correlation between the variables...
by selmrog
Mon Jun 15, 2015 3:36 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 81258

Re: DCCGARCH11

Hey Trubador, another question regarding the covariance matrix. First, my thesis deals with portfolio optimisation and I want to include the time varying correlation into my optimisation model. I figured out, with your help, how to get the covariance series, however I need the matrix to include it i...
by selmrog
Sun Jun 14, 2015 6:33 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 81258

Re: DCCGARCH11

Thanks very much for your feedback trubador! Your add in is very helpful btw ;)
by selmrog
Fri Jun 12, 2015 8:32 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 81258

Re: DCCGARCH11

Hi Trubador, I used the add-in for 5 time series. I think the results are fine?! I attached the work file. My question is, if its possible to get the variance covariance matrix for the time varying correlations to use the matrix for portfolio optimization. I did get it right that the rho_12_01 is th...

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