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- Sat Sep 24, 2016 4:42 am
- Forum: Estimation
- Topic: Dynamic conditional correlation multivariate GARCH
- Replies: 79
- Views: 101659
Hi, I am currently doing a thesis in relation to dynamic correlation between oil returns and stock market indices returns. However, when using the DCC-GARCH model I am getting negative T(1) coefficients. For some indices T(1) is being negative with a p-value < 0.1 and for some other indices the p-va...