The RATS Software Forum

Dear Tom Thank you for your help and time. With regards to multivariate diagnostic tests (Li-McLeod and Hosking) for DCC-GARCH model that is estimated for 3131 data points, do you believe the problem with rejection is due to test nature or GARCH model as such? Please share if you have any ideas how ...

Dear Tom I need your help and advise. I am estimating VAR-DCC-GARCH. I have 3131 observations. Information criteria in a VAR show 5 lags, but when i run multivariate diagnostic tests (Li-McLeod and Hosking) on standardized residuals the test statistics reject the null of no serial correlation. Howev...

My research aims to find out whether the correlation is time-varying or constant. Since both models (DCC and CCC) provide insignificant estimates i don't know how to correctly interpret these results, and explain why CCC gives insignificant correlation estimate (what is the reason?). Maybe there is ...

Thank you very much the prompt reply!

It is true, the correlation is very small between the variables. Does it mean that CCC is also not working because of a such small correlation? is there any solution possible?

Hello I have estimated the conditional correlation using DCC-GARCH and got insignificant DCC-alpha while DCC-beta is strongly significant. I have tried to estimate CCC instead but also got insignificant correlation. Could you please help and advise what could be the reason and possible solution? Man...

Dear Tom I'm working with DCC-GARCH (1,1) model. Before estimating the model i'm running a bivariate VAR model to get residuals to use them as inputs for the DCC-model. But the problem is that don't get significant DCC parameters. Could you please suggest what could be the reason for insignificant p...