EViews.com

Hello,

I need to find conditional covariances between two variables. My method is mgarch dcc. When I run mgarch dcc codes, it produces garch(1), garch(2) and rho. I calculate covariance as

covariance=rho*(garch(1)*(garch(2))

as the codes don't produce covariances, it must be the way to estimate covariances .

However, I also estimated the covariances with mgarch ccc which produces the covariances. And mgarch ccc produces better results than dcc in my research so I felt dubious whether covariance=rho*(garch(1)*(garch(2)) might be wrong or I have missed something.

Thank you very much,

You should take the square roots of variances before multiplying them to compute the covariance.

Thank you. I took squareroots of garch series when multiplying the conditioanl covariances. But I wrote in the post without the square roots by mistake. So I did it right then. Thank you.

Hello! My name is Bisma Raina.
Could you kindly share the codes of mgarch DCC?
Thank you.