DCCGARCH11
Moderators: EViews Gareth, EViews Moderator, EViews Esther
Re: DCCGARCH11
Hello,
I have the version Eviews student 9, so I can't access to this addin.
I would like to do a DCCGARCH (1,1) model, can you provide me the code please ?
Thanks a lot,
I have the version Eviews student 9, so I can't access to this addin.
I would like to do a DCCGARCH (1,1) model, can you provide me the code please ?
Thanks a lot,

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11765
 Joined: Tue Sep 16, 2008 5:38 pm
Re: DCCGARCH11
If you are using the student version you cannot use code...
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Re: DCCGARCH11
Ok, so, how can I model a DCC GARCH (1,1) in the student version (Version 9)?
I have a place named "command", I was thinking it was for a code ...
I am a really new user of EViews !
Thanks a lot for your help !
I have a place named "command", I was thinking it was for a code ...
I am a really new user of EViews !
Thanks a lot for your help !

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11765
 Joined: Tue Sep 16, 2008 5:38 pm
Re: DCCGARCH11
Hi everyone,
First, I want to say thank you to Tubrador that made this add in. This add in is awesome. However, I want to ask something about this add in. I want to use lag term in my model.But when I input the lag time into the model, the dcc parameter become NA and everything become insignificant. What's happened? Anyone can help me please?
Thank you
First, I want to say thank you to Tubrador that made this add in. This add in is awesome. However, I want to ask something about this add in. I want to use lag term in my model.But when I input the lag time into the model, the dcc parameter become NA and everything become insignificant. What's happened? Anyone can help me please?
Thank you
 Attachments

 coba.wf1
 (38.9 KiB) Downloaded 106 times
Re: DCCGARCH11
Please make sure you searched the forum or at least read the previous queries before posting your questions:
trubador wrote: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
Dear mister/madam,
I would like to apply a DCCGARCH model to find the correlation between my stock and bond returns.
Since the univariate GARCH model should be applied on the residuals of these two series, I am wondering if I have to put the variable "stock returns" and "bond returns" in the first box or their residuals ? (so "residuals stock returns" and "residuals bond returns")?
Thanks a lot for your answer,
Have a nice day !
I would like to apply a DCCGARCH model to find the correlation between my stock and bond returns.
Since the univariate GARCH model should be applied on the residuals of these two series, I am wondering if I have to put the variable "stock returns" and "bond returns" in the first box or their residuals ? (so "residuals stock returns" and "residuals bond returns")?
Thanks a lot for your answer,
Have a nice day !
Re: DCCGARCH11
soo wrote:Since the univariate GARCH model should be applied on the residuals of these two series, I am wondering if I have to put the variable "stock returns" and "bond returns" in the first box or their residuals ? (so "residuals stock returns" and "residuals bond returns")?
The addin lets you build an ARIMA model for the mean part, so you can simply use actual returns as dependent variables. If you like, you can build models for the mean part at the outset and then feed residuals into the addin: viewtopic.php?f=23&t=9677&start=75#p44556
Re: DCCGARCH11
Dear trubator
I would like to ask about whether there are diagnostic tests on the DCCGARCH addin in Eviews? This is because i couldn't find these when using the addin. Can you help me please?
Thank you!
I would like to ask about whether there are diagnostic tests on the DCCGARCH addin in Eviews? This is because i couldn't find these when using the addin. Can you help me please?
Thank you!

 Posts: 1
 Joined: Mon Mar 07, 2016 4:25 am
Re: DCCGARCH11
Hey,
So right now I am estimating bivariate dcc garch (return in 2 indices such as s&p500 and klse).
Some of the paper that I read,
define the mean equation such: r_t=γ_0 + γ_1 r_(t1)+ γ_2 r_(t1)^us + ε_t ( I attached the paper's method and result) , it uses ar(1) process in the mean equation
My question is, every time I put Rus and Rmy in the return series and put 1 in the ar process for mean equation box, the rho that is produced is not series instead it's only give me one number (for the first day) whereas i supposed the rho_12_01 supposed to give series right?
I wonder, if I put only Rus and Rmy ( I got the series of rho_12_01) without including ar(1) and later I modify the estimation that is saved under eq_garch_r2_01 (meaning after the dcc then i go back to the univariate garch estimation and change the command there and include the ar(1))? is this violating the dcc proposed by engle somehow?
THANKS A LOT!!!
So right now I am estimating bivariate dcc garch (return in 2 indices such as s&p500 and klse).
Some of the paper that I read,
define the mean equation such: r_t=γ_0 + γ_1 r_(t1)+ γ_2 r_(t1)^us + ε_t ( I attached the paper's method and result) , it uses ar(1) process in the mean equation
My question is, every time I put Rus and Rmy in the return series and put 1 in the ar process for mean equation box, the rho that is produced is not series instead it's only give me one number (for the first day) whereas i supposed the rho_12_01 supposed to give series right?
I wonder, if I put only Rus and Rmy ( I got the series of rho_12_01) without including ar(1) and later I modify the estimation that is saved under eq_garch_r2_01 (meaning after the dcc then i go back to the univariate garch estimation and change the command there and include the ar(1))? is this violating the dcc proposed by engle somehow?
THANKS A LOT!!!
 Attachments

 T.Chiang paper.pdf
 (222.62 KiB) Downloaded 100 times

 US AND MALAYSIA.WF1
 (54.68 KiB) Downloaded 90 times
Re: DCCGARCH11
debbysoraya wrote:Hey,
So right now I am estimating bivariate dcc garch (return in 2 indices such as s&p500 and klse).
Some of the paper that I read,
define the mean equation such: r_t=γ_0 + γ_1 r_(t1)+ γ_2 r_(t1)^us + ε_t ( I attached the paper's method and result) , it uses ar(1) process in the mean equation
My question is, every time I put Rus and Rmy in the return series and put 1 in the ar process for mean equation box, the rho that is produced is not series instead it's only give me one number (for the first day) whereas i supposed the rho_12_01 supposed to give series right?
I wonder, if I put only Rus and Rmy ( I got the series of rho_12_01) without including ar(1) and later I modify the estimation that is saved under eq_garch_r2_01 (meaning after the dcc then i go back to the univariate garch estimation and change the command there and include the ar(1))? is this violating the dcc proposed by engle somehow?
THANKS A LOT!!!
For the technical difficulties you experience during the estimation, please see previous posts:
trubador wrote: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.
And note that the estimated model in the paper you cited uses the return of US index as an exogenous variable (i.e. the second box in the addin).
Re: DCCGARCH11
Dear trubador,
I am new to this addin. So I used S&P500 index and a China stock index as my practice sets. DCC GARCH worked except I don't have any value for conditional correlations. Would you help me figure out why?
Thank you,
Mr. Rags
I am new to this addin. So I used S&P500 index and a China stock index as my practice sets. DCC GARCH worked except I don't have any value for conditional correlations. Would you help me figure out why?
Thank you,
Mr. Rags
 Attachments

 DCC GARCH sample.WF1
 (373.19 KiB) Downloaded 116 times
Re: DCCGARCH11
Is there still a compatibility issue with eViews 9? I keep getting this result "Optimization failed: unable to evaluate objective at optimization starting values." and my rhos are all "NA."
Thanks.
Thanks.
Re: DCCGARCH11
I have a question about the results from addin. I'm curiuos that the results in sheet rho are dynamic correlation or conditional correlation?
Re: DCCGARCH11
Hello,
I am using Eviews 9 and I keep getting this result "Optimization failed: unable to evaluate objective at optimization starting values." and my rhos are all "NA."
Could you please help?
I am using Eviews 9 and I keep getting this result "Optimization failed: unable to evaluate objective at optimization starting values." and my rhos are all "NA."
Could you please help?
 Attachments

 dcc garch.PNG (27.99 KiB) Viewed 3134 times
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