Search found 2 matches
- Wed Jun 22, 2011 1:59 am
- Forum: ARCH and GARCH Models
- Topic: GARCH DCC with regressors affecting the mean
- Replies: 3
- Views: 7065
Re: GARCH DCC with regressors affecting the mean
Dear Tom, the answer is very clear. I have a second question related to a loop. Assume that I want to estimate two trivariate DCC Garch as below {xjpn xfra xsui} and {xjpn xfra x}. To save space and time I need to construct a loop given that xjpn xfra are common to both models. Is there a simple way...
- Tue Jun 21, 2011 8:29 am
- Forum: ARCH and GARCH Models
- Topic: GARCH DCC with regressors affecting the mean
- Replies: 3
- Views: 7065
GARCH DCC with regressors affecting the mean
Dear Tom, is there a possibility to estimate a trivariate GARCH DCC with regressors affecting the mean in 1 step? The tentative below shows that the coefficients and standard errors on jpn{1} xfra{1} xsui{1} cannot be computed. garch(p=1,q=1,mv=dcc,method=bfgs,regressors) / xjpn xfra xsui # constant...