Hi,
Attempt 1
I am trying to estimate the conditional correlation using a bivariate MGARCH-VCC model (Tse and Tsui). I am able to run my code:
mgarch vcc (kt_m kt_f = L(1/2).kt_m L(1/2).kt_f), arch(1) garch(1)
However, when I run the next code: predict condcorr, correlation, I would get an error message. That is, when I try to predict the conditional correlation, I would get an error. The error message is "option correlation not allowed".
Attempt 2
I tried to test using STATA's example:
use http://www.stata-press.com/data/r13/stocks
mgarch vcc (toyota nissan honda = L.toyota L.nissan L.honda, noconstant), arch(1) garch(1)
predict temp, c equation(toyota,nissan)
predict temp1, correlation equation(toyota,nissan)
Similarly, I am unable to run the last two codes with the same error message. The option correlation is not allowed. Why is this happening? From the MGARCH-VCC postestimation commands, there is the option correlation for predict available.
I would appreciate any help offered! Really need some advice on this issue!!!
Thank you.
Attempt 1
I am trying to estimate the conditional correlation using a bivariate MGARCH-VCC model (Tse and Tsui). I am able to run my code:
mgarch vcc (kt_m kt_f = L(1/2).kt_m L(1/2).kt_f), arch(1) garch(1)
However, when I run the next code: predict condcorr, correlation, I would get an error message. That is, when I try to predict the conditional correlation, I would get an error. The error message is "option correlation not allowed".
Attempt 2
I tried to test using STATA's example:
use http://www.stata-press.com/data/r13/stocks
mgarch vcc (toyota nissan honda = L.toyota L.nissan L.honda, noconstant), arch(1) garch(1)
predict temp, c equation(toyota,nissan)
predict temp1, correlation equation(toyota,nissan)
Similarly, I am unable to run the last two codes with the same error message. The option correlation is not allowed. Why is this happening? From the MGARCH-VCC postestimation commands, there is the option correlation for predict available.
I would appreciate any help offered! Really need some advice on this issue!!!
Thank you.
