Hi all,
Is there any way to include exogenous variables in a DCC model? I'm using the dccgarch11 program, but apparently you can only include exogenous variables in the mean and variance equations.
Thank you in advance.
Best,
Luis
Search found 1 match
- Wed Nov 06, 2019 12:22 pm
- Forum: Add-in Support
- Topic: DCC GARCH with exogenous variables
- Replies: 0
- Views: 12558