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- Thu Jun 26, 2014 7:16 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies: 121
- Views: 543543
Re: DCCGARCH11
Hi, I'm currently using the DCC add-in, which seems to work fine. I'm using it for the purpose of detecting volatility spillover effects. However, I didn't manage to find the coefficients pertaining to the direction of the spillover and all I managed to find was the thetas and the correlations. Isn'...