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by charlie295
Tue Jul 19, 2011 5:52 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 79
Views: 101910

Re: Dynamic conditional correlation multivariate GARCH

Hi everybody, I have managed to use the code provided kindly by hvtcapollo and produced reasonable rho values. Probably an easy question but im not an expert in statistics, which of the series in the code gives the values of the conditional variances/st devs? (is it var_z1 and var_z2 or Z1/Z2 or som...

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