Rolling mgarch

[ayca79]

Hello,

Is it possible to run mgarch dvech mgarch bekk, mgarch ccc and mgarch dcc with one year Windows ? Rolling happens on one day intervals. Garch procedures are recursive in nature. But for my work I may need an additional Rolling feature. I have got data of 10 years. If I calculate conditional covariances for the first year would the program roll it on a Daily basis and calculate the covariances for the succeeding 1 year?
My data is from 01.02.2003 to 08.29.2013

Can I calculate the conditional covariances for the period of 01.02.2003 - 01.02.2004 and then 02.02.2003-0.02.2004 until 08.29.2012 - 08.29.2013?

It sounds really hard but is there any possibility?

Thank you,

[trubador]

I do not see any reason why it should not. Rolling is just a repetitive mechanism, not an estimation method by itself. There are plenty of Rolling examples in the forum, which will guide you.