DCCGARCH11

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theocharis_iosifidis
Posts: 3
Joined: Sun Apr 07, 2019 5:29 am

Re: DCCGARCH11

Postby theocharis_iosifidis » Mon Apr 08, 2019 7:08 am

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.


Dear trubador. First and foremost, thank you very much for the very effective add-in that you presented in the forum. It has facilitated many researches since it incorporates DCC-GARCH in eviews which is an innovation. However, if you have some free time i would like you to clarify something regarding the correct application of its procedure. I am currently conducting a research over the dynamic correlation between oil price shocks and the stock markets in oil importing and oil exporting countries. I have all of the necessary data downloaded and I have removed the N/A values. My question is what exactly to include in the empty boxes of the estimation process. In the first one which refers to the return series i am considering to put the returns of the oil index and the returns of one of the stock markets. Is it correct or should i include only one of them?
Moreover, on the boxes of exogenous variables in the mean and variance equation I am considering to put the constant term and my exogenous variable. Is this correct? Or should I include something else?
Again, Thank you very much for the valuable feedback that you offered !!!!

theocharis_iosifidis
Posts: 3
Joined: Sun Apr 07, 2019 5:29 am

Re: DCCGARCH11

Postby theocharis_iosifidis » Thu Apr 18, 2019 10:33 am

Can someone help me please? What is this line upon the theta(1) coefficient. Also what is this number below C(9)? It has no description neither does it clarify to what it responds. Finally, what is C(9). Are they lags? Please I need your help since it is the first time that I ever met such a thing. You can see what I mean in the file that I attached below.
Attachments
Screenshot_4.png
Dcc_Garch_Eviews
Screenshot_4.png (21.25 KiB) Viewed 206 times


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