GARCH DCC for large number of series. How to loop?

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GARCH DCC for large number of series. How to loop?

Postby divac » Tue Aug 01, 2017 8:42 am

Dear all,

I am trying to collect dynamic conditional correlations for a large number of pairwise regressions. I thought to run a loop to change variables around, but struggled...

Here is the example of what I am trying to do for a pair of two series:

Code: Select all

system mysys1
mysys1.append x1=c(1)
mysys1.append x2=c(2)
mysys1.arch @diagvech c arch(1) garch(1)
mysys1.makegarch(cor, name=cor1)

Suppose I have 150 series (X) to calculate all dynamic conditional correlations between them. How can I create a loop or something to avoid doing it manually?

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