DCC multivariate GARCH

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gentek
Posts: 2
Joined: Wed Jul 29, 2009 5:54 am

DCC multivariate GARCH

Postby gentek » Wed Jul 29, 2009 6:25 am

Hi

Does anyone know how we can write a program to perform Dynamic Conditional Correlation Multivariate GARCH in Eviews?

I saw the code in the bivariate situation but I am unable to change to make multivariate

thanks
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EViews Gareth
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Re: DCC multivariate GARCH

Postby EViews Gareth » Wed Jul 29, 2009 8:00 am

http://forums.eviews.com/search.php?st= ... ywords=dcc
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gentek
Posts: 2
Joined: Wed Jul 29, 2009 5:54 am

Re: DCC multivariate GARCH

Postby gentek » Wed Jul 29, 2009 8:55 am

I saw it but I did not understand how to drate the multivariate
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