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by Norling87
Mon Apr 18, 2011 6:38 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 77
Views: 89731

Re: Dynamic conditional correlation multivariate GARCH

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...

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