GARCH DCC model
Posted: Mon Mar 24, 2014 4:52 am
Hello,
I'm a student in finance. I'm french, so excuse me if it's not a perfect english. I have to build up a model to model the movements of the conditionnal correlations in the time where correlations are time varying.
I make my project on e-views. I need to create a GARCH DDC Model. I don't understand how to apply this type of model on e-views. I need help.
I have two series in an Excel file:
equity index : CAC40
commodity index : CRB
I have computed the daily yield and the daily volatility.
Now I need to launch these series on e-views to get the conditionnal correlations. Can you help me ? I need the method, the code to follow on e-views to get these correlations. Moreover the theoritical model is difficult to understand. I read the document of Engle (2002) about it, but I don't understand very well the model. Can you explain to me in a few words the model ?
Thank you for your help.
I'm a student in finance. I'm french, so excuse me if it's not a perfect english. I have to build up a model to model the movements of the conditionnal correlations in the time where correlations are time varying.
I make my project on e-views. I need to create a GARCH DDC Model. I don't understand how to apply this type of model on e-views. I need help.
I have two series in an Excel file:
equity index : CAC40
commodity index : CRB
I have computed the daily yield and the daily volatility.
Now I need to launch these series on e-views to get the conditionnal correlations. Can you help me ? I need the method, the code to follow on e-views to get these correlations. Moreover the theoritical model is difficult to understand. I read the document of Engle (2002) about it, but I don't understand very well the model. Can you explain to me in a few words the model ?
Thank you for your help.