dcc-garch with exogenous

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Abdelrazzaq
Posts: 13
Joined: Thu Mar 27, 2014 9:17 am

dcc-garch with exogenous

Postby Abdelrazzaq » Tue Jul 21, 2015 11:21 am

dear all;
can you please advice how to include the exogenous variable in the covariance matrix of dcc-garch in order to allow for the dynamic conditional correlation to be affected by those exogenous such as macro news, uncertainty index. in one paper and others, they built the analysis on the equations in attached,
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Abdelrazzaq
Posts: 13
Joined: Thu Mar 27, 2014 9:17 am

Re: dcc-garch with exogenous

Postby Abdelrazzaq » Wed Jul 22, 2015 2:07 pm

any answer ?!


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