DCC-GARCH(1,1) Estimation

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DCC-GARCH(1,1) Estimation

Postby vititox » Wed Aug 29, 2018 11:58 am


I am having an issue estimating the following equations, in order to analyze the safe haven property of silver (in BRL currency):

equations.JPG (16.05 KiB) Viewed 105 times

The model used by relevant papers is the DCC-GARCH(1,1). How do I estimate these equations using Eviews?

I assume that the relationship is not constant, but is influenced by extreme market conditions. Eqs. (1a), (1b), (1c) present the principal
regression model to analyze the safe haven property of silver. Eq. (1a) models the relation of silver and stock returns. The parameters to estimate are "a" and "bt". The parameter "bt" is modelled as a dynamic process given by Eq. (1b). The parameters to estimate in Eq. (1b) are c0, c1, c2 and c3. The dummy variables denoted as D(...) capture extreme stock market movements and are equal to one if the stock market exceeds a certain threshold given by the 10%, 5% and 1% quantile of the return distribution. If one of the parameters c1, c2 or c3 is significantly different from zero, there is evidence of a non-linear relationship between silver and the stock market.

Thank you, any help would be great!
silver ibrx.wf1
(406.52 KiB) Downloaded 8 times

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