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  • DCC Graph correlations

    Hello.
    I have a basic question with predict correlation using MGARCH DCC models.
    Why initial values estimated for each pair series, after predict correlation command, are close to zero?

    code:
    mgarch dcc (rp1 rp2 rp3 rp4 rp5 rp6 = l.rp1 l.rp2 l.rp3 l.rp4 l.rp5 l.rp6), arch(1/1) garch(1/1)
    predict Corr*, correlation

    Click image for larger version

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    Thank you.
    Henry.
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