BIVARIATE DCC GARCH
Posted: Wed Aug 14, 2019 5:27 am
Dear Sir
I am doing a BiVariate DCC GARCH model testing the relationship between sectoral equity and CDS returns.
For some sectors, the conditional variance coefficients of CDS part, despite being all positive, the summation will be greater than 1.
Does this imply that the model is flawed and/or meaningless?
Thank you
I am doing a BiVariate DCC GARCH model testing the relationship between sectoral equity and CDS returns.
For some sectors, the conditional variance coefficients of CDS part, despite being all positive, the summation will be greater than 1.
Does this imply that the model is flawed and/or meaningless?
Thank you