Rolling mgarch
Posted: Tue Jun 30, 2015 2:31 pm
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,
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,