mgarch

  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...