Modelling of CCC and DCC-GARCH

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DambaGhana
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Joined: Wed Dec 21, 2016 2:06 am

Modelling of CCC and DCC-GARCH

Postby DambaGhana » Thu Dec 22, 2016 2:00 am

Am currently working on my thesis and having challenges on how to write the command for CCC and DCC-GARCH. This is how i intend to model the various equations.
Food Prices
MAIZEPR = C(1) + C(2)*CRUDEPR(-1) + C(3)*EXCHANGE(-1) + C(4)*INFLATION(-1) +C(5)*MAIZEPR(-1) + C(6)*RICEPR(-1) + C(7)*WHEATPR(-1) + C(8)*COTTONPR(-1)

RICEPR = C(9) + C(2)*CRUDEPR(-1) + C(3)*EXCHANGE(-1) + C(4)*INFLATION(-1) + C(5)*MAIZEPR(-1) + C(6)*RICEPR(-1) + C(7)*WHEATPR(-1) + C(8)*COTTONPR(-1)

SOYBEANPR = C(10) + C(2)*CRUDEPR(-1) + C(3)*EXCHANGE(-1) + C(4)*INFLATION(-1) + C(5)*MAIZEPR(-1) + C(6)*RICEPR(-1) + C(7)*WHEATPR(-1) + C(8)*COTTONPR(-1)

WHEATPR = C(11) + C(2)*CRUDEPR(-1) + C(3)*EXCHANGE(-1) + C(4)*INFLATION(-1)+ C(5)*MAIZEPR(-1) + C(6)*RICEPR(-1) + C(7)*WHEATPR(-1) + C(8)*COTTONPR(-1)

COTTONPR = C(12) + C(2)*CRUDEPR(-1) + C(3)*EXCHANGE(-1) + C(4)*INFLATION(-1)+ C(5)*MAIZEPR(-1) + C(6)*RICEPR(-1) + C(7)*WHEATPR(-1) + C(8)*COTTONPR(-1)

Macroeconomics

CRUDEPR = C(1) + C(2)*CRUDEPR(-1)



EXCHANGE = C(3) + C(2)*CRUDEPR(-1) + C(3)*EXCHANGE(-1) + C(4)*INFLATION(-1)

INFLATION = C(4) + C(2)*CRUDEPR(-1) + C(3)*EXCHANGE(-1) + C(4)*INFLATION(-1)

Thank you.

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