DCCGARCH11
Moderators: EViews Gareth, EViews Moderator, EViews Esther
Re: DCCGARCH11
I have a question regrading the use of dccgarch11* add-in. The add-in stopped working for my eviews yesterday. It is said that the use of add-in has been expired. Could you please give me an advice how to continue using the add-in, please?
Re: DCCGARCH11
Yes, the add-in was intended to be used until end of last year. I'll extend it for 2015, but you'll have to wait for EViews team to return from ASSA 2015 event.
Re: DCCGARCH11
Oh! I have searched everywhere so as to contact the author. I used the add in for the first part of my research estimation and now am 'hooked' because i can't use it for the second part due end of this month, January.
I hope this add in gets restored soon. I'm aware the event ended Jan 5, 2015.
I hope this add in gets restored soon. I'm aware the event ended Jan 5, 2015.
Re: DCCGARCH11
You can now download and use the add-in until the end of year.
Re: DCCGARCH11
Hello,
Is it possible to adapt the add-in to allow testing for structural breaks (making use of any of the proposed structural break methodologies )
Can someone tell me how to verify a structural break at a known date using this model and program
Aaron
Is it possible to adapt the add-in to allow testing for structural breaks (making use of any of the proposed structural break methodologies )
Can someone tell me how to verify a structural break at a known date using this model and program
Aaron
Re: DCCGARCH11
No, the add-in does not have any formal structural break test. You can, however, generate dummy variables and use them as exogenous variables for the mean and/or variance equation. And then you can interpret the significance of coefficient(s) to serve the purpose.
Re: DCCGARCH11
Thank you, that should be sufficient to verify a claim for higher correlation in the latter (post known break point) part of my series?
There is an endogenous dummy variable method that I am investigating and is shown in the line below, this is a different structural break method to those I have seen so far and would it be possible to perform this within the add-in? The attached file shows the transformation under this method.
Aaron
There is an endogenous dummy variable method that I am investigating and is shown in the line below, this is a different structural break method to those I have seen so far and would it be possible to perform this within the add-in? The attached file shows the transformation under this method.
Aaron
- Attachments
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- daum_equation_1424186584519.png (47.33 KiB) Viewed 30581 times
Re: DCCGARCH11
I am trying to use this add in while I'm offline but it doesn't let me. Do you have to be online to use it? It says it expired. Thank you
Re: DCCGARCH11
Either update or download and install it again.
Re: DCCGARCH11
Thank you, I have a bit of a theoretical question. The conditional volatility residuals of the dcc model is the same as the variance?
Re: DCCGARCH11
I think you are asking me if the conditional volatility estimated in the first step is a regular GARCH model. Yes, that is correct. You can find details on the mechanics of the estimated model in the references cited.
Re: DCCGARCH11
Dear trubador,
Can I use the GARCH-M model in added-in? I tried to put the conditional variance to the RHS of mean equation but failed.
Thanks!
Can I use the GARCH-M model in added-in? I tried to put the conditional variance to the RHS of mean equation but failed.
Thanks!
Re: DCCGARCH11
Unfortunately no, you cannot do that.
Re: DCCGARCH11
Hi trubador. Can u offer an example which used dccgarch11? I don't know what should be put in four empty boxes. Thanks so much.
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