### Re: DCCGARCH11

Posted:

**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 !!!!