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- Wed Oct 12, 2022 11:19 am
- Forum: ARCH and GARCH Models
- Topic: MV GARCH interpretation
- Replies: 0
- Views: 37806
MV GARCH interpretation
Can someone please help me understand and interpret the following results: I am fairly new to using RATS but what I'm trying to do is test the correlation between stock and commodity indices during periods of high volatility. I would like to understand what the C(i,j), A(i,j), B(i,j) mean and if my ...