Testing the assumption of constant correlations
Posted: Sat Mar 07, 2009 9:32 am
Hey guys ,
Can anyone tell me how we can test the assumption of constant correlations. I have estimated the constant conditional correlation model for a stock and a index.I also need to Construct and backtest the one-day 1% Value at Risk of a portfolio which invests 50% in the stock and 50% in the index .
I would appreciate your help.
Can anyone tell me how we can test the assumption of constant correlations. I have estimated the constant conditional correlation model for a stock and a index.I also need to Construct and backtest the one-day 1% Value at Risk of a portfolio which invests 50% in the stock and 50% in the index .
I would appreciate your help.