Dynamic conditional correlation multivariate GARCH

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ssk322
Posts: 13
Joined: Fri Jan 17, 2014 4:36 am

Dynamic conditional correlation multivariate GARCH

Postby ssk322 » Mon Mar 16, 2015 4:15 am

Hi all,

I was using the dcc-egarch/garch add in however I have greater than 5 series within my data, please can someone advise on how to create the dcc-egarch/garch model?

Kind regards,
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