dcc-garch with exogenous
Posted: 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,
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,