Sorry, the previous is incorrect, because in general covariances are not additive, variances are.
Therefore, for analytical DVECH I can only generate a 1-step similar to https://estima.com/webhelp/topics/mvgar ... edure.html, not multi-step.
garchmv.rpf
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TomDoan
- Posts: 7825
- Joined: Wed Nov 01, 2006 4:36 pm
Re: garchmv.rpf
That's not correct; the covariance matrix of the sum of a set of uncorrelated random vectors is the sum of the covariances.