DCC Garch and Error bands

Discussions of ARCH, GARCH, and related models
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billmil
Posts: 5
Joined: Thu Mar 10, 2011 4:28 pm

DCC Garch and Error bands

Unread post by billmil »

Dear Colleagues-
Does anyone know how to compute, obtain, and graph error bands from DCC GARCH models-that is, error bands for the DCCs themselves, once the DCCs have been computed? So that one can get confidence intervals for the time-varying correlations? Would be very grateful for any guidance.
Thanks,
Bill
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TomDoan
Posts: 7826
Joined: Wed Nov 01, 2006 4:36 pm

Re: DCC Garch and Error bands

Unread post by TomDoan »

See GARCHMVDCCGIBBS.RPF
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