Search found 3 matches
- Wed Oct 21, 2015 4:05 pm
- Forum: ARCH and GARCH Models
- Topic: Estimation of DCC-GARCH model
- Replies: 5
- Views: 10619
Re: Estimation of DCC-GARCH model
Hello! Thank's for the help. I already have the ARMA models for returns and I want to use that residuals in estimation of DCC-GARCH model. I do that, but when I test for univariate ARCH effects, they disappear, bur if I test for @mvarchtest, p-value is always very very small (p=0.0001) what means th...
- Tue Oct 20, 2015 5:13 am
- Forum: ARCH and GARCH Models
- Topic: Estimation of DCC-GARCH model
- Replies: 5
- Views: 10619
Re: Estimation of DCC-GARCH model
Hi Tom!
I only made the estimation of returns using ARMA models, to eliminate correlation in residuals (I made this on Eviews). And now, I want to know what I have to do next. For using DCC-GARCH I will need to use the residuals of ARMA models, right?
Thanks for your help
I only made the estimation of returns using ARMA models, to eliminate correlation in residuals (I made this on Eviews). And now, I want to know what I have to do next. For using DCC-GARCH I will need to use the residuals of ARMA models, right?
Thanks for your help
- Mon Oct 19, 2015 5:10 pm
- Forum: ARCH and GARCH Models
- Topic: Estimation of DCC-GARCH model
- Replies: 5
- Views: 10619
Estimation of DCC-GARCH model
Dear all, I am new in RATS and I have to estimate a DCC-GARCH model for my thesis to conclude my master degree. But to do the estimation, I have many problems and I don't know how to do it. Please, someone can help me? I wanna examine if there is contagion between two stock market and I have already...