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dcc-garch with exogenous

Posted: Tue Jul 21, 2015 11:21 am
by Abdelrazzaq
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,

Re: dcc-garch with exogenous

Posted: Wed Jul 22, 2015 2:07 pm
by Abdelrazzaq
any answer ?!