GARCHMVBOOTSTRAP—Multivariate GARCH bootstrapping

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

GARCHMVBOOTSTRAP—Multivariate GARCH bootstrapping

Unread post by TomDoan »

GARCHMVBOOTSTRAP.RPF does bootstrapping (for computing VaR) for a standard multivariate GARCH and for a DCC model. The first uses the VECHMAT option on GARCH to convert the calculations to VECH form, which can be applied to other models such as a BEKK with effectively no change.

Detailed Description

g10xrate.xls
Data file (included in RATS v8 distribution)
(1.2 MiB) Downloaded 878 times


Last bumped by TomDoan on Tue Aug 13, 2024 9:12 am.
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