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