Q_t matrix in garch(...,mv=dcc)
Posted: Tue Sep 06, 2011 11:33 am
Hi all. Most likely a stupid question: I have to forecasts with DCC GARCH. I therefore need the Q_t matrix from equation (20) in UG-299 (version 
. I know I can hard-code all the stuff, but the "garch" instruction seems to perform much quicker than any "maximize". Is there any way to extract the Q_t matrices when I use "garch(..,mv=dcc)"? Uli
. I know I can hard-code all the stuff, but the "garch" instruction seems to perform much quicker than any "maximize". Is there any way to extract the Q_t matrices when I use "garch(..,mv=dcc)"? Uli