Dynamic conditional correlation multivariate GARCH
Posted: 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,
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,