Hello,
I need to find conditional covariances between two variables. My method is mgarch dcc. When I run mgarch dcc codes, it produces garch(1), garch(2) and rho. I calculate covariance as
covariance=rho*(garch(1)*(garch(2))
as the codes don't produce covariances, it must be the way to estimate covariances .
However, I also estimated the covariances with mgarch ccc which produces the covariances. And mgarch ccc produces better results than dcc in my research so I felt dubious whether covariance=rho*(garch(1)*(garch(2)) might be wrong or I have missed something.
Thank you very much,
conditional covariance with mgarch dcc
Moderators: EViews Gareth, EViews Moderator
Re: conditional covariance with mgarch dcc
You should take the square roots of variances before multiplying them to compute the covariance.
Re: conditional covariance with mgarch dcc
Thank you. I took squareroots of garch series when multiplying the conditioanl covariances. But I wrote in the post without the square roots by mistake. So I did it right then. Thank you.
Re: conditional covariance with mgarch dcc
Hello! My name is Bisma Raina.
Could you kindly share the codes of mgarch DCC?
Thank you.
Could you kindly share the codes of mgarch DCC?
Thank you.
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