The RATS Software Forum

* That meant to read: I was just wondering if it is possible to adapt the code for the GARCH estimation of DCC for integrated DCC or can you only do it with two step likelihood?

Hi, I was just wondering if it is possible to adapt the code for the GARCH estimation of DCC or can you only do it with two step likelihood? I have used the code: garch(p=1,q=1,i=nodrift,model=ar1,mv=dcc,asymmetric,pmethod=simplex,piters=100,method=bfgs,iter=1000,trace) with ar1 representing my syst...

Hi, I am estimating a multivariate IGARCH model and have when I use the BEKK specification, my model doesn't converge. I think this is because my matrix is near singular. The constant conditional correlation method works, however the assumption of constant correlation for my model may not be realist...

Hi, I was just wondering if it is possible to impose restrictions on the multivariate DCC GARCH model to ensure positive definiteness? I have tried adding asymmetric effects and robust errors and it doesn't solve the problem, is there anything else I could do? At the moment some of my alpha1 and bet...