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DCC multivariate GARCH

Posted: Wed Jul 29, 2009 6:25 am
by gentek
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

Re: DCC multivariate GARCH

Posted: Wed Jul 29, 2009 8:00 am
by EViews Gareth

Re: DCC multivariate GARCH

Posted: Wed Jul 29, 2009 8:55 am
by gentek
I saw it but I did not understand how to drate the multivariate