DCC multivariate GARCH
Posted: 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
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