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- Sat Nov 05, 2022 6:11 am
- Forum: Estimation
- Topic: Dynamic conditional correlation multivariate GARCH
- Replies: 81
- Views: 257714
Re: Dynamic conditional correlation multivariate GARCH
Hi. I am using this code by Hvtcapollo for a DCC-GARCH model. I am thereafter trying to use a term from the model (the pairwise dcc) to regress an equation such as p(ij,t) = y0 +y1Dcovid where Dcovid is a dummy. What I am not sure about is how to get this term(pairwise dcc, or p in this equation) or...