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- Mon Apr 18, 2011 6:38 am
- Forum: Estimation
- Topic: Dynamic conditional correlation multivariate GARCH
- Replies: 81
- Views: 192264
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...