Search found 2 matches
- Tue May 22, 2012 2:36 am
- Forum: Examples and Sample Code
- Topic: Cappiello, Engle, Sheppard(2006) DCC GARCH models
- Replies: 26
- Views: 46590
Re: Various two-step DCC models
Tom, Thank you, those options for the MAXIMIZE instruction did help for a lot of my models. Could you possibility help me understand two others things? If I try and run the code for shorter data series (300/ 400 obvs) I find that the results are very sensitive to the initial values specified in the ...
- Thu May 17, 2012 9:56 am
- Forum: Examples and Sample Code
- Topic: Cappiello, Engle, Sheppard(2006) DCC GARCH models
- Replies: 26
- Views: 46590
Re: Various two-step DCC models
Hey, thanks for this code. I have been just been using it to produce some results for some ADCC and AGDCC models. I was wondering if anyone could help me understand something. When I run a 3/ 4 time series model I can understand all the results for all four techniques but when I run it for only 2 se...