DCCGARCH11

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dnguyen1
Posts: 3
Joined: Mon Dec 29, 2014 2:35 pm

Re: DCCGARCH11

Postby dnguyen1 » Tue Dec 30, 2014 12:22 pm

Thank you so much!

dnguyen1
Posts: 3
Joined: Mon Dec 29, 2014 2:35 pm

Re: DCCGARCH11

Postby dnguyen1 » Fri Jan 02, 2015 4:45 pm

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?

trubador
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Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: DCCGARCH11

Postby trubador » Mon Jan 05, 2015 1:39 am

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.

jimi
Posts: 2
Joined: Fri Jan 09, 2015 12:55 pm

Re: DCCGARCH11

Postby jimi » Fri Jan 09, 2015 1:07 pm

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.

trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Re: DCCGARCH11

Postby trubador » Sat Jan 10, 2015 7:44 am

You can now download and use the add-in until the end of year.

wildee
Posts: 2
Joined: Tue Feb 03, 2015 10:37 am

Re: DCCGARCH11

Postby wildee » Tue Feb 17, 2015 12:25 pm

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

trubador
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Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: DCCGARCH11

Postby trubador » Tue Feb 17, 2015 1:25 pm

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.

wildee
Posts: 2
Joined: Tue Feb 03, 2015 10:37 am

Re: DCCGARCH11

Postby wildee » Wed Feb 18, 2015 4:55 am

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
Attachments
daum_equation_1424186584519.png
daum_equation_1424186584519.png (47.33 KiB) Viewed 7099 times

bvguizar
Posts: 40
Joined: Sat Aug 28, 2010 6:56 am

Re: DCCGARCH11

Postby bvguizar » Thu Feb 26, 2015 1:28 am

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

trubador
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Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: DCCGARCH11

Postby trubador » Thu Feb 26, 2015 1:44 am

Either update or download and install it again.

bvguizar
Posts: 40
Joined: Sat Aug 28, 2010 6:56 am

Re: DCCGARCH11

Postby bvguizar » Thu Feb 26, 2015 12:53 pm

Thank you, I have a bit of a theoretical question. The conditional volatility residuals of the dcc model is the same as the variance?

trubador
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Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: DCCGARCH11

Postby trubador » Sat Feb 28, 2015 2:10 pm

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.

littleice
Posts: 1
Joined: Wed Mar 18, 2015 3:52 am

Re: DCCGARCH11

Postby littleice » Wed Mar 18, 2015 4:02 am

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!

trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Re: DCCGARCH11

Postby trubador » Wed Mar 18, 2015 5:25 am

Unfortunately no, you cannot do that.

Delia
Posts: 1
Joined: Tue Mar 31, 2015 3:11 am

Re: DCCGARCH11

Postby Delia » Tue Mar 31, 2015 3:20 am

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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