DCCGARCH11
Moderators: EViews Gareth, EViews Moderator, EViews Esther
Re: DCCGARCH11
Dear turbador,
Please accept my sincere apologies for the email.
I am trying to plot dynamic conditional correlation between oil prices & inflation rate. In your opinion, should I filter the time series using VAR and then input the residuals in addin or should I directly give the two time series as input to addin? because, when I gave residuals as input the addin gave ridiculous results
from VAR residuals
without residuals
I have read the addin documentation many times, but I'm still unable to figure out what does theta (1) and theta (2) signify?
Thanks.
Please accept my sincere apologies for the email.
I am trying to plot dynamic conditional correlation between oil prices & inflation rate. In your opinion, should I filter the time series using VAR and then input the residuals in addin or should I directly give the two time series as input to addin? because, when I gave residuals as input the addin gave ridiculous results
from VAR residuals
without residuals
I have read the addin documentation many times, but I'm still unable to figure out what does theta (1) and theta (2) signify?
Thanks.
Re: DCCGARCH11
I'm new to DCCGarch model as I'm from engineering background. I have another curiosity which is not directly related to this addin, but I would be really grateful if you could help me with those.
I am trying to find dependence of Inflation rate on monthly Oil prices, for that
1) Should I use time series for monthly oil prices or monthly returns?
2) Which time series should I provide as exogenous variables in mean & variance equations? inflation or oil?
3) How should I decide number of AR lags to be used in the model?
I am trying to find dependence of Inflation rate on monthly Oil prices, for that
1) Should I use time series for monthly oil prices or monthly returns?
2) Which time series should I provide as exogenous variables in mean & variance equations? inflation or oil?
3) How should I decide number of AR lags to be used in the model?
Re: DCCGARCH11
Addins are simply the tools for applying a given method, which is not builtin in EViews. In any case, you are assumed to have some background on the method before applying it. The documentation covers only the issues directly related to addin, not the method itself. You can, however, always refer to articles cited in the reference section in order to get a better understanding of the method.
The relationship between oil prices and inflation is a widely studied topic. You can find plenty of papers on the subject that will provide you enough guidance on the methodology. I also suggest you to work on the concept of stationarity as well as simple ARMA modeling before going any further.
The relationship between oil prices and inflation is a widely studied topic. You can find plenty of papers on the subject that will provide you enough guidance on the methodology. I also suggest you to work on the concept of stationarity as well as simple ARMA modeling before going any further.

 Posts: 1
 Joined: Thu Jun 26, 2014 7:09 am
Re: DCCGARCH11
Hi,
I'm currently using the DCC addin, which seems to work fine. I'm using it for the purpose of detecting volatility spillover effects. However, I didn't manage to find the coefficients pertaining to the direction of the spillover and all I managed to find was the thetas and the correlations. Isn't this facility provided in the addin?
Thanks
I'm currently using the DCC addin, which seems to work fine. I'm using it for the purpose of detecting volatility spillover effects. However, I didn't manage to find the coefficients pertaining to the direction of the spillover and all I managed to find was the thetas and the correlations. Isn't this facility provided in the addin?
Thanks

 Posts: 39
 Joined: Thu Apr 24, 2014 3:51 am
Re: DCCGARCH11
econworker wrote:trubador wrote:PDF document should be stored here: C:\Users\...\Documents\EViews Addins\dccgarch11\dccgarch11.pdf
Thank you very much
Hi Trabadur, it seems that its not possible to do diagnostic tests withing the addin of DCCGARCH, is it correct?

 Posts: 1
 Joined: Tue Jul 01, 2014 4:41 am
Re: DCCGARCH11
Hi
I need to find correlation between two time series. Do I insert the time series directly or I have perform some operation on them before insertion ?
Thanks
I need to find correlation between two time series. Do I insert the time series directly or I have perform some operation on them before insertion ?
Thanks

 Posts: 39
 Joined: Thu Apr 24, 2014 3:51 am
Re: DCCGARCH11
Tim Malone wrote:Hi
I need to find correlation between two time series. Do I insert the time series directly or I have perform some operation on them before insertion ?
Thanks
Hi, DCCGARCH is a two step process, in the first step you ahould perform the univariate GARCH and obtain the residuals, cov and etc...from them and then perform the DCCGARCH with using those results from the univariate GARCH, but this addin does this two steps process and you dont need to do anything before, as I know.

 Posts: 39
 Joined: Thu Apr 24, 2014 3:51 am
Re: DCCGARCH11
Dear Trabadur
I have some problems with using DCCGARCH addin I hope you help me about it.
What I understand is that this add in is not working properly, when its a simple model without any exogenous shock to the mean or variance equations of its GARCH models it works, but when I include some variable to mean equation or if I include AR term then it can not converge. although the maximum number of iterations is 500 but it does not go more than 10 or 15 iterations and consequently it doesn't converge. Do you think there is a bug in the add in or is there any solution for that?
its good to mention that when I estimate the same model using the same data with DCC GARCH code, it works properly.
I would be very thankful if you help me about it.
Thanks
I have some problems with using DCCGARCH addin I hope you help me about it.
What I understand is that this add in is not working properly, when its a simple model without any exogenous shock to the mean or variance equations of its GARCH models it works, but when I include some variable to mean equation or if I include AR term then it can not converge. although the maximum number of iterations is 500 but it does not go more than 10 or 15 iterations and consequently it doesn't converge. Do you think there is a bug in the add in or is there any solution for that?
its good to mention that when I estimate the same model using the same data with DCC GARCH code, it works properly.
I would be very thankful if you help me about it.
Thanks
Re: DCCGARCH11
fa3oor89@gmail.com wrote:Hi,
I'm currently using the DCC addin, which seems to work fine. I'm using it for the purpose of detecting volatility spillover effects. However, I didn't manage to find the coefficients pertaining to the direction of the spillover and all I managed to find was the thetas and the correlations. Isn't this facility provided in the addin?
Thanks
DCC GARCH models work on the correlation structure. You'll need unparameterized versions of multivariate GARCH models (e.g. unrestricted BEKK).
Re: DCCGARCH11
Tim Malone wrote:Hi
I need to find correlation between two time series. Do I insert the time series directly or I have perform some operation on them before insertion ?
Thanks
DCC GARCH models represent the dynamic conditional covariances of the standardized residuals, and therefore do not actually yield dynamic conditional correlations.
Re: DCCGARCH11
econworker wrote:Dear Trabadur
I have some problems with using DCCGARCH addin I hope you help me about it.
What I understand is that this add in is not working properly, when its a simple model without any exogenous shock to the mean or variance equations of its GARCH models it works, but when I include some variable to mean equation or if I include AR term then it can not converge. although the maximum number of iterations is 500 but it does not go more than 10 or 15 iterations and consequently it doesn't converge. Do you think there is a bug in the add in or is there any solution for that?
its good to mention that when I estimate the same model using the same data with DCC GARCH code, it works properly.
I would be very thankful if you help me about it.
Thanks
As usual, it is difficult to pinpoint the source of problem (if any) without seeing actual data/workfile. But;
1) Since this is a twostep model, you should check the first step (i.e. estimation of univariate GARCH models) to see if everything is OK. Try alternative GARCH models.
2) Model may become illdefined or inconsistent after including an exogenous variable or an AR term. Try dropping them or find better RHS variables.
3) Starting values of coefficients may be too far from an optimal solution. Try different initial parameter values (i.e. theta vector).
4) Correlation targeting may be too restrictive. Try unchecking this option.
5) Sample period may not be appropriate to carry out such an analysis. Try adjusting the sample.
6) Optimization algorithm may perform poorly. Try other alternatives.
7) Algorithms may fall out the domain of estimation parameters. Try optimizing the squared coefficients.
Such models are nonlinear in nature and therefore there is no guarantee that they will always converge and yield proper estimation results. It really needs "your" time and effort to get it work.
Re: DCCGARCH11
I can't find the documentation on the
c:/... or the manage add in. Can someone help me please?
Thank you
c:/... or the manage add in. Can someone help me please?
Thank you
Re: DCCGARCH11
bvguizar wrote:I can't find the documentation
Look into the addins folder: C:\Users\...\Documents\EViews Addins\dccgarch11
Re: DCCGARCH11
Hi,
I'm using dccgarch11 addin for my research. I just got some negative values for dcc. Could you please help me explain why the results for dcc could be negative? Or did I do anything wrong when using the addin?
The eviews file attached below shows an example. The dcc between china and eu (us also) has some negative value.
Thank you very much!
I'm using dccgarch11 addin for my research. I just got some negative values for dcc. Could you please help me explain why the results for dcc could be negative? Or did I do anything wrong when using the addin?
The eviews file attached below shows an example. The dcc between china and eu (us also) has some negative value.
Thank you very much!
 Attachments

 weekly sectoral indices.wf1
 (227.42 KiB) Downloaded 571 times
Re: DCCGARCH11
Your results seem fine. If you are referring to rho_* outputs, then it is normal to observe some negative values as they represent the correlations not the variances.
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