Multivariate GARCH bootstrapping
Posted: Wed Sep 05, 2012 12:14 pmThis 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
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- g10xrate.xls
- Data file (included in RATS v8 distribution)
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