DCC-(R)GARCH add-in (DCC-GARCH and DCC-RGARCH model)

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MarF
Posts: 18
Joined: Mon Aug 10, 2009 1:36 am

DCC-(R)GARCH add-in (DCC-GARCH and DCC-RGARCH model)

Postby MarF » Thu Feb 25, 2021 1:46 am

This thread is about the dcc_rgarch add-in that estimates the DCC-Range-GARCH and DCC-GARCH models.

The documentation file attached below (also available in the add-in).
Attachments
dcc_rgarch_doc.pdf
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Last edited by MarF on Thu Mar 18, 2021 10:01 am, edited 1 time in total.

dakila
Posts: 413
Joined: Tue Nov 24, 2015 4:57 pm

Re: DCC-(R)GARCH add-in

Postby dakila » Fri Feb 26, 2021 8:31 pm

Many thanks for providing the Eviews user community with the comprehensive add-in. Could you provide an example data?

MarF
Posts: 18
Joined: Mon Aug 10, 2009 1:36 am

Re: DCC-(R)GARCH add-in

Postby MarF » Tue Mar 02, 2021 2:47 am

Thank you for kind words.

An example workile is attached. Simply, load the workfile (data_dcc_rgarch_example.wf1) and run the add-in.
You may run GUI or the command line.


The command line example:

Code: Select all

dcc_rgarch(dep="aapl_rt amd_rt google_rt ibm_rt intel_rt", model="rgarch", dep_high="aapl_high amd_high google_high ibm_high intel_high", dep_low="aapl_low amd_low google_low ibm_low intel_low", smpl="02/01/2019 31/12/2020", show_out="yes")


This example estimates the DCC-RGARCH model for five time series representing stock data.
Notice, that the date representation is day/month/year, so it may need adjustments.

The output table for the DCC model should be like the following:
[img]
dcc_rgarch_example1.jpg
[/img]
Attachments
dcc_rgarch_example1.jpg
dcc_rgarch_example1.jpg (250.05 KiB) Viewed 524 times
data_dcc_rgarch_example.wf1
(834.2 KiB) Downloaded 22 times

dakila
Posts: 413
Joined: Tue Nov 24, 2015 4:57 pm

Re: DCC-(R)GARCH add-in

Postby dakila » Thu Mar 04, 2021 7:11 pm

Thanks Marcin.

pascalle
Posts: 8
Joined: Tue Jul 05, 2016 9:50 am

Re: DCC-(R)GARCH add-in

Postby pascalle » Sat Mar 13, 2021 7:18 am

Thank you for providing the DCC-GARCH add-in.

May I know is there any problem if I obtained a negative significant DCC coefficient? If yes, how should I fix this problem?

Thank you

Pascalle

MarF
Posts: 18
Joined: Mon Aug 10, 2009 1:36 am

Re: DCC-(R)GARCH add-in

Postby MarF » Tue Mar 16, 2021 3:32 am

Actually, it depends. The matrix Q (the quasi-correlation) is guaranteed to be positive definite if both alpha and beta are all positive.
Notice, that negative alpha may not be and issue due to the fact that in most cases beta is quite high and alpha is low, respectively.
So depending on the situation and data it may not be an issue. The two parameters alpha and beta govern the speed of adjustment it is worth considering if there is some explanation to being alpha negative.
Hope that helps.

pascalle
Posts: 8
Joined: Tue Jul 05, 2016 9:50 am

Re: DCC-(R)GARCH add-in

Postby pascalle » Tue Mar 16, 2021 7:17 am

Thank you for your reply. I am deeply appreciated with your help.
Many Thanks.


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