DCCGARCH11

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trubador
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DCCGARCH11

Postby trubador » Tue Mar 04, 2014 1:33 pm

This thread is about dccgarch11 add-in.

The add-in allows you to build and estimate Dynamic Conditional Correlation models, which are the more flexible and parameterized class of Multivariate GARCH-family. It is written/designed with primarily educational purposes in mind and therefore some limitations are imposed to ease the estimation and maintain the user-friendliness of the GUI as well:

i) Second or higher order specifications are not allowed.
ii) Estimation is carried out in two-step.
iii) At most 5 series are allowed.

Please read the documentation for further instructions.

ecofin
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Re: DCCGARCH11

Postby ecofin » Wed Mar 05, 2014 1:31 am

very useful Add-in 8) . thanks a lot.

theodore04
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Re: DCCGARCH11

Postby theodore04 » Sat Mar 15, 2014 8:30 am

is the documentation available?


trubador wrote:This thread is about dccgarch11 add-in.

The add-in allows you to build and estimate Dynamic Conditional Correlation models, which are the more flexible and parameterized class of Multivariate GARCH-family. It is written/designed with primarily educational purposes in mind and therefore some limitations are imposed to ease the estimation and maintain the user-friendliness of the GUI as well:

i) Second or higher order specifications are not allowed.
ii) Estimation is carried out in two-step.
iii) At most 5 series are allowed.

Please read the documentation for further instructions.

trubador
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Re: DCCGARCH11

Postby trubador » Sat Mar 15, 2014 1:17 pm

Assuming you have already installed the add-in, the documentation is available from the Manage Add-ins menu.

matco
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Re: DCCGARCH11

Postby matco » Thu Mar 20, 2014 7:50 am

Hi, I am new to eviews. I would need to simultaneously estimate a VEC and a bivariate DCC-GARCH, I have try to use the add-in for dcc-garch but I cannot get it to work, also I would need the VEC output in line with the dcc output. would I have to right the program myself or is there is any other way?

misscats
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Re: DCCGARCH11

Postby misscats » Wed Apr 02, 2014 6:09 am

Dear trubador
Does this need Eviews 8 or higher to go with?

Thanks.

trubador
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Re: DCCGARCH11

Postby trubador » Wed Apr 02, 2014 6:42 am

Yes, you need EViews version 8 or higher.

econworker
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Re: DCCGARCH11

Postby econworker » Tue Jun 10, 2014 1:17 am

trubador wrote:Yes, you need EViews version 8 or higher.


Dear Trabadur, thanks for this add-in, is there any specific reason that only 5 variables are allowed?

trubador
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Re: DCCGARCH11

Postby trubador » Tue Jun 10, 2014 2:15 am

Have you read the documentation that comes with the add-in?

econworker
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Re: DCCGARCH11

Postby econworker » Tue Jun 10, 2014 6:38 am

[quote="trubador"]Have you read the documentation that comes with the add-in?[/quo

Unfortunately I cant open it, it keep sending me error!

trubador
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Re: DCCGARCH11

Postby trubador » Tue Jun 10, 2014 10:40 am

PDF document should be stored here: C:\Users\...\Documents\EViews Addins\dccgarch11\dccgarch11.pdf

econworker
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Re: DCCGARCH11

Postby econworker » Wed Jun 11, 2014 6:45 am

trubador wrote:PDF document should be stored here: C:\Users\...\Documents\EViews Addins\dccgarch11\dccgarch11.pdf


Thank you very much

akash27
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Re: DCCGARCH11

Postby akash27 » Wed Jun 18, 2014 9:13 am

Before estimating a DCC-GARCH(1,1) model, time series have to be filtered to assure zero expected (mean) value of the time series. Usually, a bivariate Vector Autoregressive (VAR) model used to initially remove potential linear structure, then the residuals of the VAR model are used as inputs for the DCCGARCH model.
Is this procedure involved in the add-in or do I need to do this separately and give residuals as input to the add-in?

akash27
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Re: DCCGARCH11

Postby akash27 » Wed Jun 18, 2014 11:32 am

After running the add-in, how do I get graphical plot of DCC GARCH conditional correlation ( say on y-axis) with time (say on x-axis) between two series?

trubador
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Re: DCCGARCH11

Postby trubador » Thu Jun 19, 2014 2:34 am

If your questions are regarding the general use of the add-in, just post them under the relevant thread in this forum. Please do not send private e-mail messages (especially not to my office account).

akash27 wrote:Before estimating a DCC-GARCH(1,1) model, time series have to be filtered to assure zero expected (mean) value of the time series. Usually, a bivariate Vector Autoregressive (VAR) model used to initially remove potential linear structure, then the residuals of the VAR model are used as inputs for the DCCGARCH model.Is this procedure involved in the add-in or do I need to do this separately and give residuals as input to the add-in?

The add-in only allows univariate AR-X models for mean equations. VAR model needs to be specified at the outset.
akash27 wrote:After running the add-in, how do I get graphical plot of DCC GARCH conditional correlation ( say on y-axis) with time (say on x-axis) between two series?

If you select "Save dynamic correlations" option, then you can plot either rho_??_?? for the series of interest or rhos?? for all correlations post estimation. For instance, for a two-variable model it would be:

Code: Select all

line rho_12_01
line rhos01


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