DCC

[FaeK]

Dear Tom,

I hope that you are well. I am using the old code (attached) of DCC model for engle. However, I fail to extract and plot the dynamic correlations.

I am so grateful to you for your insightful help over my work. Thank you very much for any hints for this as well.

Regards
Faek

[TomDoan]

See http://www.estima.com/cgi-bin/procbrowser.cgi?Version=810&Revision=Any&Subject=Any&Reference=Box-Steffensmeier

The only difference is that your code is using H for the covariance matrices, and that is using HH.

[FaeK]

Thank you so very much, Tom. It is much appreciated.

Many thanks
Faek