Q stat DCC GARCH

[aymenbelgacem]

Hi
I'm using an old version of Engle(2002) JBES for the DCC GARCH and I would like to calculate the MV Qstat
Is there any suggestion plz.
I don't use the GARCH instruction to estimate the model because I would like to introduce some other variables in GARCH and Q equations...
This is a part of the code
Thanks
Aymen

[TomDoan]

Do you mean something other than the @MVQSTAT procedure?

[aymenbelgacem]

Yes I mean the @mvqstat but I don't know how to treat the dynamic correlation before using the procedure
Thanks Tom

[TomDoan]

The GARCHMV.RPF example includes multivariate standardization of the residuals prior to calling @MVQSTAT:

Code: Select all

garch(p=1,q=1,pmethod=simplex,piters=10,$
   hmatrices=hh,rvectors=rd)  / xjpn xfra xsui
set z1 = rd(t)(1)/sqrt(hh(t)(1,1))
set z2 = rd(t)(2)/sqrt(hh(t)(2,2))
set z3 = rd(t)(3)/sqrt(hh(t)(3,3))
@bdindtests(number=40) z1
@bdindtests(number=40) z2
@bdindtests(number=40) z3
*
* Multivariate Q statistic. This requires transforming the residuals to
* eliminate the time-varying correlations.
*
dec vect[series] zu(%nvar)
do time=%regstart(),%regend()
   compute %pt(zu,time,%solve(%decomp(hh(time)),rd(time)))
end do time
@mvqstat(lags=40)
# zu

[aymenbelgacem]

Thanks Tom
I know this example but I can't use the GARCH instruction and the Xregressors because I want to add the lagged variance of the market i in the market j and other variables, so I tried to paste the second part of GRACHMV example in which one calculates the standardized residuals. But the problem that I tried to make a link between it and my version of the DCC GARCH attached above, I didn't find what corresponds to "hh" and "rd" in my old version of the DCC.
Sorry Tom for this (naive) question

[TomDoan]

Your equivalent would be to use %XT for the HH and U arrays of series:

Code: Select all

dec vect[series] zu(n)
do time=%regstart(),%regend()
   compute %pt(zu,time,%solve(%decomp(%xt(hh,time)) ,%xt(u,time)))
end do time

[aymenbelgacem]

I don't have HH. Do you mean h?

[moderator]

It would be whatever name you are using for your variances and covariances in your particular code. Mr. Doan used HH in his example, but it looks like you used H in your code.

Regards,
Tom Maycock