Search found 3 matches

by ecko33
Tue Aug 09, 2016 3:13 pm
Forum: Programming
Topic: problem with dcc garch results
Replies: 0
Views: 784

problem with dcc garch results

I ran the dcc garch model by using add-in from a computer in university. The results were fine. After that I used my eviews demo version from my laptop to run the same dcc garch model (exactly the same). But the result were a bit weird. Could you guys tell me whats wrong about it? The first pic was ...
by ecko33
Thu Jul 28, 2016 4:22 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 118
Views: 59310

Re: DCCGARCH11

I have a question about the results from add-in. I'm curiuos that the results in sheet rho are dynamic correlation or conditional correlation?
by ecko33
Tue Jul 26, 2016 3:49 pm
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 75
Views: 75888

Re: Dynamic conditional correlation multivariate GARCH

Dear members, after i used dcc garch code as provided, my theta (t1) is negative and p-value is more than 0.05. I think there was something wrong. Could you guys guide me how to deal with it. Thank you so much.

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