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by wildee
Wed Feb 18, 2015 4:55 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 543429

Re: DCCGARCH11

Thank you, that should be sufficient to verify a claim for higher correlation in the latter (post known break point) part of my series? There is an endogenous dummy variable method that I am investigating and is shown in the line below, this is a different structural break method to those I have see...
by wildee
Tue Feb 17, 2015 12:25 pm
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 543429

Re: DCCGARCH11

Hello,

Is it possible to adapt the add-in to allow testing for structural breaks (making use of any of the proposed structural break methodologies )

Can someone tell me how to verify a structural break at a known date using this model and program


Aaron

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