Estimating DCC in MatLab 2017

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Adam Graf
Adam Graf 2018년 5월 11일
편집: Adam Graf 2018년 5월 11일
Good evening,
I am a complete beginner with MatLab coding. I have an understanding of univariate GARCH models and reasonable experience with eViews. For my university coursework we are studying how the correlations between two stock indices changed over time. For this purpose, a bivariate GARCH needs to be used and I have to estimate DCC and/or BEKK and/or GO-GARCH.
I found that many people use the code from Kevin Sheppard, so I suppose I am going to use it too. But honestly, I do not have a clue how to 1) adjust my time-series to fit the model, 2) how to run the model itself and 3) where to find the correlation values which I need for my coursework analysis.
Can anybody please help me ideally step-by-step how to run these models in MatLab 2017? I understand this will be a very complex stuff so I would be grateful for series of emails or even skype call. Despite being a poor little student drowning in student loan debt, I am willing to pay a reasonable fee for such advice.
Desperately waiting for any advice.
Thank you very much.

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