필터 지우기
필터 지우기

The use of MFE toolbox in DCC GARCH

조회 수: 19 (최근 30일)
tilfani oussama
tilfani oussama 2019년 9월 24일
댓글: Murat Akdag 2020년 4월 10일
I would like to perform a DCC GARCH model to a time series, with MFE toolbox. For simplicity, let say a bivariate case. I would like to ask the following questions, which i don't find directly in the code:
  1. I understand that "parameters" means the estiamted parameter of the DCC model. However it is not clear, to what coresponds each of them in the model specification?
  2. From the results, with a standard DCC GARCH (1,1), where are the significance tests?
  3. How to obtain the matrix of estimated correlations.
Thank you

답변 (0개)

카테고리

Help CenterFile Exchange에서 Conditional Variance Models에 대해 자세히 알아보기

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by