selmrog wrote:Hi Trubador,
I used the add-in for 5 time series. I think the results are fine?! I attached the work file. My question is, if its possible to get the variance covariance matrix for the time varying correlations to use the matrix for portfolio optimization. I did get it right that the rho_12_01 is the correlation between series 1 and 2 and so on?
Thank you very much for you help!!
Yes, the results "appear to be" fine. However, I cannot verify or validate your model, as it requires a more thorough analysis of diagnostics.
Yes, it is possible to get covariance series (though not as a matrix). Since you already have correlation series, just save the variance series from garch estimations and then use the statistical formula of correlation.
Yes, your reading of the correlation series is correct.