Dynamic conditional correlation multivariate GARCH
Moderators: EViews Gareth, EViews Moderator

 Posts: 13
 Joined: Thu Mar 27, 2014 9:17 am
Re: Dynamic conditional correlation multivariate GARCH
Dear all;
I am trying to use the written code as available here, in my analysis and I am having an error.
Please see attached workfile, code and error message and advice.
best
Abdelrazzaq
I am trying to use the written code as available here, in my analysis and I am having an error.
Please see attached workfile, code and error message and advice.
best
Abdelrazzaq
 Attachments

 screenshot.docx
 (210.09 KiB) Downloaded 223 times

 code.prg
 (6.41 KiB) Downloaded 204 times

 workfile.WF1
 (1.6 MiB) Downloaded 191 times
Re: Dynamic conditional correlation multivariate GARCH
i need help on DCC MGARCH in eviews 8.
how can i apply this technique on my data, comprising of 10 variables?
thank you in anticipation
how can i apply this technique on my data, comprising of 10 variables?
thank you in anticipation
Re: Dynamic conditional correlation multivariate GARCH
ANASEER wrote:i need help on DCC MGARCH in eviews 8.how can i apply this technique on my data, comprising of 10 variables?thank you in anticipation
Unfortunately, there is no easy way to apply it to a system of 10 variables. You can use dccgarch11 addin for at most 5 variables. I really do not think that it is too restrictive in practice, since expecting multivariate system to have a common correlation structure may become unrealistic as the system gets larger.

 Posts: 4
 Joined: Sun Nov 01, 2015 4:48 pm
Re: Dynamic conditional correlation multivariate GARCH
hiii please I need help
I've estimated a DCCGARCH (1,1) to residuals obtained from the adequate ARMA(p,q)applied to my series of stock . I've got results and everything seems to be ok untill checking the equation of univariate GARCH outcome from the DCC . in fact, for all my results the R_squared are negative !!! what should I do please
I've estimated a DCCGARCH (1,1) to residuals obtained from the adequate ARMA(p,q)applied to my series of stock . I've got results and everything seems to be ok untill checking the equation of univariate GARCH outcome from the DCC . in fact, for all my results the R_squared are negative !!! what should I do please
Re: Dynamic conditional correlation multivariate GARCH
demoisellesalma wrote:hiii please I need help
I've estimated a DCCGARCH (1,1) to residuals obtained from the adequate ARMA(p,q)applied to my series of stock . I've got results and everything seems to be ok untill checking the equation of univariate GARCH outcome from the DCC . in fact, for all my results the R_squared are negative !!! what should I do please
viewtopic.php?f=18&t=8434

 Posts: 4
 Joined: Sun Nov 01, 2015 4:48 pm
Re: Dynamic conditional correlation multivariate GARCH
thank u @trubador for your quick reply
Re: Dynamic conditional correlation multivariate GARCH
Hi.
Could anybody help me wtih this question: I am using DCC GARCH, but I see on the third box it says AR lags, it means that mean equation just have autorregresive component? It does not use ARIMA models?. If I can use ARIMA models with DCC GARCH addin how can I do it.
I really appreciate your help.
Best regards.
Could anybody help me wtih this question: I am using DCC GARCH, but I see on the third box it says AR lags, it means that mean equation just have autorregresive component? It does not use ARIMA models?. If I can use ARIMA models with DCC GARCH addin how can I do it.
I really appreciate your help.
Best regards.
Re: Dynamic conditional correlation multivariate GARCH
Unfortunately, the addin does not take into account MA specification for the mean equation. Some of the MA effects can be mitigated by the GARCH specification, but that really depends on the data. So, I suggest you to try modeling with the available options and then test the results further to see if there is any remaining MA behavior. Or, you can always build your own model from scratch.
Re: Dynamic conditional correlation multivariate GARCH
Dear members, after i used dcc garch code as provided, my theta (t1) is negative and pvalue is more than 0.05. I think there was something wrong. Could you guys guide me how to deal with it. Thank you so much.
Re: Dynamic conditional correlation multivariate GARCH
ruhee.mittal wrote:i am not able to get answers with this code.
is this code incomplete??
please help.
For me the code gave me the error that my data lose observations. Just when you write the period on the code, remember to start from a day later.
example: if my sample is 08/16/2003 to 08/16/2005, in the code I will write 08/17/2003 08/16/2005.
Please note that after you run the code and you get the graph, you should readjust your sample period on the eviews workfile to the "@all", because after you run the program the sample changes automatically!
Negative Coefficients  DCC GARCH Model
Hi,
I am currently doing a thesis in relation to dynamic correlation between oil returns and stock market indices returns. However, when using the DCCGARCH model I am getting negative T(1) coefficients. For some indices T(1) is being negative with a pvalue < 0.1 and for some other indices the pvalue > 0.1. Although I tried different starting values, I am still getting negative coefficients.
Both the DCC code and eviews workfiles are being attached.
Would be very grateful for your help. Thank you !
I am currently doing a thesis in relation to dynamic correlation between oil returns and stock market indices returns. However, when using the DCCGARCH model I am getting negative T(1) coefficients. For some indices T(1) is being negative with a pvalue < 0.1 and for some other indices the pvalue > 0.1. Although I tried different starting values, I am still getting negative coefficients.
Both the DCC code and eviews workfiles are being attached.
Would be very grateful for your help. Thank you !
 Attachments

 dcc.prg
 (2.28 KiB) Downloaded 172 times

 dcc_eurostoxx_oil.wf1
 (839.77 KiB) Downloaded 133 times

 dcc_nikkei_oil.wf1
 (822.02 KiB) Downloaded 113 times

 Posts: 3
 Joined: Fri Nov 04, 2016 12:45 pm
Re: Dynamic conditional correlation multivariate GARCH
Hi,
It is not abundantly clear if the DCCGARCH addin uses the corrected form the model (as presented in Aelli (2013)  Dynamic Conditional Correlation: On Properties and Estimation.) Can you confirm if the DCCGARCH addin uses the corrected cDCCGARCH? If not, are there any plans to update the addin to implement the consistent procedure?
Thanks!
It is not abundantly clear if the DCCGARCH addin uses the corrected form the model (as presented in Aelli (2013)  Dynamic Conditional Correlation: On Properties and Estimation.) Can you confirm if the DCCGARCH addin uses the corrected cDCCGARCH? If not, are there any plans to update the addin to implement the consistent procedure?
Thanks!
Re: Dynamic conditional correlation multivariate GARCH
Hello
I have estimated the conditional correlation using DCCGARCH and got insignificant DCCalpha while DCCbeta is strongly significant. I have tried to estimate CCC instead but also got insignificant correlation. Could you please help and advise what could be the reason and possible solution?
Many thanks!
I have estimated the conditional correlation using DCCGARCH and got insignificant DCCalpha while DCCbeta is strongly significant. I have tried to estimate CCC instead but also got insignificant correlation. Could you please help and advise what could be the reason and possible solution?
Many thanks!
Re: Dynamic conditional correlation multivariate GARCH
Hello, could you please advise how to put the confidence bands to the graph of dynamic conditional correlations in Eviews? The DCC model is calculated using the code. My serial number is: 90S03555. Thank you, Marek
Re: Dynamic conditional correlation multivariate GARCH
I am working on correlations between stock and bond markets . For instance, I want to determine first correlation between bonds and stocks and then using that correlation as dependent variable. I want to look possible factors explaining that correlation.
However i have no idea how to extract correlation series to build my dependent variable(my data is from 1980 to 2017). Shall i go for rolling window correlation or is there any other alternative to create correlation series that will serve as dependent variable?
I would be thankful for your suggestions.
my email is raqia123@gmail.com
However i have no idea how to extract correlation series to build my dependent variable(my data is from 1980 to 2017). Shall i go for rolling window correlation or is there any other alternative to create correlation series that will serve as dependent variable?
I would be thankful for your suggestions.
my email is raqia123@gmail.com
Who is online
Users browsing this forum: No registered users and 5 guests