DCC-GARCH correlation standard errors

Discussions of ARCH, GARCH, and related models

DCC-GARCH correlation standard errors

Postby potiv » Wed Dec 07, 2011 6:25 pm

Dear All,
I estimated DCC-GARCH conditional correlations using the GARCH instruction with the MV=dcc option. Does anybody know how to estimate standard errors? What I'd like to do is wrap the DCC conditional correlation series with a 95% confidence interval.
Any help would be very much appreciated!
Best wishes,
Valerio
potiv
 
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