Hi.
Is there any way to display conditional covariance matrix obtained from estimation through DCC-MGARCH model? Model has following form H= DRD and for given time t. Later on I would like to use that matrix to optimize my portfolio.
Lucy
Is there any way to display conditional covariance matrix obtained from estimation through DCC-MGARCH model? Model has following form H= DRD and for given time t. Later on I would like to use that matrix to optimize my portfolio.
Lucy
