DCC Garch and Error bands
Posted: Tue Nov 25, 2014 1:14 pm
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
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