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by juniorgc4
Tue Mar 29, 2016 1:13 pm
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 75
Views: 75914

Re: Dynamic conditional correlation multivariate GARCH

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...

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