Multivariate GARCH bootstrapping

[TomDoan]

This does bootstrapping (for computing VaR) for a standard multivariate GARCH and for a DCC model. The first uses the @MVGARCHTOVECH procedure (viewtopic.php?f=7&t=1433) to convert the calculations to VECH form, which can be applied to other models such as a BEKK with effectively no change. An example of the simpler bootstrap for univariate GARCH is provided at http://www.estima.com/forum/viewtopic.php?f=8&t=1607.

garchmvbootstrap.rpf

Program file

(5.75 KiB) Downloaded 112 times

g10xrate.xls

Data file (included in RATS v8 distribution)

(1.2 MiB) Downloaded 80 times