Search found 1 match
Search found 1 match • Page 1 of 1
- Tue Mar 29, 2016 1:13 pm
- Forum: Estimation
- Topic: Dynamic conditional correlation multivariate GARCH
- Replies: 75
- Views: 79913
Hi. Could anybody help me wtih this question: I am using DCC GARCH, but I see on the third box it says AR lags, it means that mean equation just have autorregresive component? It does not use ARIMA models?. If I can use ARIMA models with DCC GARCH add-in how can I do it. I really appreciate your hel...