DCC GARCH with exogenous variables
Posted: Wed Nov 06, 2019 12:22 pm
Hi all,
Is there any way to include exogenous variables in a DCC model? I'm using the dccgarch11 program, but apparently you can only include exogenous variables in the mean and variance equations.
Thank you in advance.
Best,
Luis
Is there any way to include exogenous variables in a DCC model? I'm using the dccgarch11 program, but apparently you can only include exogenous variables in the mean and variance equations.
Thank you in advance.
Best,
Luis