DCC GARCH with exogenous variables

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LPHR
Posts: 1
Joined: Wed Nov 06, 2019 2:37 am

DCC GARCH with exogenous variables

Postby LPHR » Wed Nov 06, 2019 12:22 pm

Hi all,

Is there any way to include exogenous variables in a DCC model? I'm using the dccgarch11 program, but apparently you can only include exogenous variables in the mean and variance equations.

Thank you in advance.

Best,

Luis

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