dcc

  1. V

    Asynchronous DCC-GARCH

    Has anyone worked on an Asynchronous or Threshold DCC-GARCH in STATA? I've been trying to figure out how to write the code and am looking for a solution. I"m aware that there is no asynchronous options implemented in the existing mgarch dcc program...at least that I can find. Thanks...
  2. M

    Problems with graphing dinamic correlation after"mgarch dcc"

    Problems with graphing Hi everybody, I have some problems after having done the command "mgarch dcc.." and "predict H*, variance". I need to estimate and then graph the correlation so I generate a new variable with the one I have from the garch model. (Es. I want correlation between stocks...
  3. S

    different results from mean equation in regress VS dcc garch

    can anyone explain why the results of doing regress var1 L.var1, noconstant are different than the results from doing DCC GARCH using the previous equation as the mean equation? the result should be exactly the same, right? thanks