Search found 1 match
Search found 1 match • Page 1 of 1
- Mon Apr 18, 2011 6:38 am
- Forum: Estimation
- Topic: Dynamic conditional correlation multivariate GARCH
- Replies: 79
- Views: 101963
Hey! The above given code works very well for estimating the DCC-GARCH, but as I understand it, the code uses the whole sample to estimate the correlation and uses that sample to estimate the correlation at each time t. In my study, I want to use the DCC-GARCH in the bivariate case and roll a in-sam...